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Option Valuation with Conditional Skewness
Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …
Persistent link: https://www.econbiz.de/10005101071
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La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires
Hervé, Fabrice - In: Revue Finance Contrôle Stratégie 6 (2003) 3, pp. 41-77
funds and performance persistence for fixed-income funds. Nonetheless, the best pension funds in both categories are …
Persistent link: https://www.econbiz.de/10005111132
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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
Christoffersen, Peter; Heston, Steven; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2009
State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk....
Persistent link: https://www.econbiz.de/10005037435
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Which Volatility Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002
Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....
Persistent link: https://www.econbiz.de/10005100917
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Option Valuation with Long-run and Short-run Volatility Components
Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - School of Economics and Management, University of Aarhus - 2008
This paper presents a new model for the valuation of European options, in which the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model can be...
Persistent link: https://www.econbiz.de/10005440047
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Lévy jump risk: Evidence from options and returns
Ornthanalai, Chayawat - In: Journal of Financial Economics 112 (2014) 1, pp. 69-90
Brownian increment and a Lévy jump. Time variations in these models are generated with an affine GARCH, which facilitates the …
Persistent link: https://www.econbiz.de/10010752914
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with …
Persistent link: https://www.econbiz.de/10011482587
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with …
Persistent link: https://www.econbiz.de/10011476095
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A comprehensive look at the empirical performance of equity premium prediction II
Goyal, Amit; Welch, Ivo; Zafirov, Athanasse - 2021
Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch (2008), as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample. Our samples include the original periods in which these variables were identified, but...
Persistent link: https://www.econbiz.de/10012800283
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The “out-of-sample” performance of long run risk models
Ferson, Wayne; Nallareddy, Suresh; Xie, Biqin - In: Journal of Financial Economics 107 (2013) 3, pp. 537-556
This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931–2009. The long-run risk models perform relatively well on the momentum effect.
Persistent link: https://www.econbiz.de/10011039251