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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10010491382
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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10010465152
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Econometric Analysis of Financial Derivatives
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of...
Persistent link: https://www.econbiz.de/10011274352
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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10011256249
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Modelling Long Memory Volatility in Agricultural Commodity Futures Return
McAleer, Michael; Chang, Chia-Lin; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …
Persistent link: https://www.econbiz.de/10010545927
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …
Persistent link: https://www.econbiz.de/10010548109
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …
Persistent link: https://www.econbiz.de/10010732611
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Facultad de Ciencias Económicas y Empresariales, … - 2012
, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGARCH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …
Persistent link: https://www.econbiz.de/10010778713
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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10011099468