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Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022

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Recurrent conditional heteroskedasticity

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Developing an optimized artificial intelligence model for S&P 500 option pricing : a hybrid GARCH model

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Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

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Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

Persistent link: https://www.econbiz.de/10010341118

Pricing and hedging options with GARCH-stable proxy volatilities

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Exploring option pricing and hedging via volatility asymmetry

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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process

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Adaptive learning and equilibrium selection in experimental coordination games : an ARCH(1) approach

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Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

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