Similar Search Results - EconBiz

An analytical approximation to the option formula for the GARCH model

Choi, Youngsoo - In: International review of financial analysis 14 (2005) 2, pp. 149-164

Persistent link: https://www.econbiz.de/10002738237

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Modeling the leverage effect with copulas and realized volatility

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Finance research letters 5 (2008) 4, pp. 221-227

Persistent link: https://www.econbiz.de/10003786354

An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility

Xu, Dinghai; Wirjanto, Tony S. - 2008

Persistent link: https://www.econbiz.de/10003975377

Modeling asymmetric volatility clusters using Copulas and high frequency data

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2010

Persistent link: https://www.econbiz.de/10003975430

An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility

Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58

Persistent link: https://www.econbiz.de/10008655519

Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76

Persistent link: https://www.econbiz.de/10011377303

Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014

Persistent link: https://www.econbiz.de/10011382186

Is China's P/E ratio too low? : examining the role of earnings volatility

Huang, Alan Guoming; Wirjanto, Tony S. - In: Pacific-Basin finance journal 20 (2012) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10009629179

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