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An analytical approximation to the option formula for the GARCH model

Choi, Youngsoo - In: International review of financial analysis 14 (2005) 2, pp. 149-164

Persistent link: https://www.econbiz.de/10002738237

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

The relationship between energy and equity markets : evidence from volatility impulse response functions

Olson, Eric; Vivian, Andrew J.; Wohar, Mark E. - In: Energy economics 43 (2014), pp. 297-305

Persistent link: https://www.econbiz.de/10010504812

The time-varying correlation between uncertainty, output, and inflation : evidence from a DCC-GARCH model

Jones, Paul M.; Olson, Eric - In: Economics letters 118 (2013) 1, pp. 33-37

Persistent link: https://www.econbiz.de/10009706894

Sentiment's effect on the variance of stock returns

Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473

Persistent link: https://www.econbiz.de/10012315615

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543