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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
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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
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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
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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
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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
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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
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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
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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
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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
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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