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Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724148

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

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Answering the skeptics : yes, standard volatility models do provide accurate forecasts

Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905

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Estimating continuous-time stochastic volatility models of the short-term interest rate

Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377

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On the return-volatility relationship in the Bitcoin market around the price crash of 2013

Bouri, Elie; Azzi, Georges; Dyhrberg, Anne Haubo - 2016

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if...

Persistent link: https://www.econbiz.de/10011539994

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

The fine structure of equity-index option dynamics

Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546

Persistent link: https://www.econbiz.de/10011499756

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

On the dynamic transmission of mean and volatility across the Arab stock markets

Bouri, Elie; Azzi, Georges - In: Journal of emerging market finance 13 (2014) 3, pp. 279-304

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