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GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2012

We survey the theory and empirical evidence on GARCH option valuation models. Our treatment includes the range of … between GARCH and stochastic volatility models. In the appendix we provide Matlab computer code for option pricing via Monte …

Persistent link: https://www.econbiz.de/10010851269

Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

Hansen, Niels S.; Lunde, Asger - School of Economics and Management, University of Aarhus - 2013

In this paper we are interested in the term structure of futures contracts on oil. The objective is to specify a relatively parsimonious model which explains data well and performs well in a real time out of sample forecasting. The dynamic Nelson-Siegel model is normally used to analyze and...

Persistent link: https://www.econbiz.de/10010851281

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …

Persistent link: https://www.econbiz.de/10010851299

Decomposing European Bond and Equity Volatility

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2007

The paper investigates volatility spillover from US and aggregate European asset markets into European national asset markets. A main contribution is that bond and equity volatility spillover is analyzed simultaneously. A new model belonging to the "volatility-spillover" class is suggested: The...

Persistent link: https://www.econbiz.de/10005209092

Modelling conditional correlations of asset returns: A smooth transition approach

Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time …

Persistent link: https://www.econbiz.de/10009652369

Conditionally-uniform Feasible Grid Search Algorithm

Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2012

) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in … particular the Simplified Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical …

Persistent link: https://www.econbiz.de/10009421016

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Persistent link: https://www.econbiz.de/10005034729

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - School of Economics and Management, University of Aarhus - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10005037432

Option Pricing using Realized Volatility

Stentoft, Lars - School of Economics and Management, University of Aarhus - 2008

In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...

Persistent link: https://www.econbiz.de/10005440036

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037