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Robust Score and Portmanteau Tests of Volatility Spillover
Aguilar, Mike - 2013
This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance...
Persistent link: https://www.econbiz.de/10013091629
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A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach
Izmailov, Alexander - 2015
The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...
Persistent link: https://www.econbiz.de/10013022328
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Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedgi...
Izmailov, Alexander - 2015
• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...
Persistent link: https://www.econbiz.de/10013032725
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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach
Izmailov, Alexander - 2015
The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...
Persistent link: https://www.econbiz.de/10013029750
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Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems : A Probability Density Function Approach
Izmailov, Alexander - 2015
• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...
Persistent link: https://www.econbiz.de/10013030477
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The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric - In: Journal of empirical finance 32 (2015), pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
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The Great Moderation : inventories, shocks or monetary policy?
Förster, Marcel - 2013
This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...
Persistent link: https://www.econbiz.de/10010208560
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Jondeau, Eric - 2008
) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process … when the individual persistence parameters are drawn from the same (unknown) distribution. Assuming heterogeneity across …, based on nonlinear least squares. A simulation study reveals that this aggregation-corrected estimator performs very well …
Persistent link: https://www.econbiz.de/10005534206
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Aggregate fluctuations and the distribution of firm growth rates
Bottazzi, Giulio; Li, Le; Secchi, Angelo - 2017 - Present version - September 25, 2017
We propose an aggregate growth index that explicitly accounts for non-normality in the micro-economic distribution of firm growth rates and for the presence of a negative scaling relation between their volatility and the size of the firm. Using Compustat data on US publicly traded company, we...
Persistent link: https://www.econbiz.de/10011729428