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Börsenkurs
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ECONIS (ZBW)
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RePEc
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1
Forecasting
volatility
with component conditional autoregressive range model
Wu, Xinyu
;
Hou, Xinmeng
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
Saved in:
2
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
3
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
4
Option Valuation with
Volatility
Components, Fat Tails, and Non-Monotonic Pricing Kernels
Babaoglu, Kadir
-
2017
We nest multiple
volatility
components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second
volatility
component improves the option fit by 9% on average. Fat tails improve option fit by …
Persistent link: https://www.econbiz.de/10012970627
Saved in:
5
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying
volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Saved in:
6
Option valuation with
volatility
components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
7
Alternative distribution based GARCH models for Bitcoin
volatility
estimation
Mattera, Raffaele
;
Giacalone, Massimiliano
- In:
The empirical economics letters : a monthly …
17
(
2018
)
11
,
pp. 1283-1288
Persistent link: https://www.econbiz.de/10012006849
Saved in:
8
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the
volatility
of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
Saved in:
9
Volatility
forecasting using financial statement information
Sridharan, Suhas A.
- In:
The accounting review : a publication of the American …
90
(
2015
)
5
,
pp. 2079-2106
Persistent link: https://www.econbiz.de/10011375882
Saved in:
10
Jump, non-normal error distribution and stock price
volatility
: a nonparametric specification test
Rahman, Mohammad Masudur
;
Ara, Laila Arjuman
;
Zheng, …
- In:
The Singapore economic review : journal of the Economic …
54
(
2009
)
1
,
pp. 101-121
Persistent link: https://www.econbiz.de/10003851283
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