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Pricing volatility of stock returns with volatile and persistent components

Zhu, Jie - In: Financial markets and portfolio management 23 (2009) 3, pp. 243-269

Persistent link: https://www.econbiz.de/10003889901

Tobin tax, carry trade, and the exchange rate dynamics

Li, Xiaoping; Zhou, Chunyang - In: Computational economics 63 (2024) 4, pp. 1627-1647

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Delta-hedged gains of SSE 50 ETF options

Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics letters 29 (2022) 20, pp. 1864-1867

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Heterogeneous trading of option implied volatility

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Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...

Persistent link: https://www.econbiz.de/10010290338