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There are 7230 results for: content related to: Conditional Volatility and the GARCH Option Pricing Model with Non-Normal Innovations

  1. You have free access to this content
    Measuring and Testing the Impact of News on Volatility

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1749–1778, ROBERT F. ENGLE and VICTOR K. NG

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05127.x

  2. Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

    Journal of Forecasting

    Volume 31, Issue 8, December 2012, Pages: 661–687, Cathy W.S. Chen, Richard Gerlach, Edward M. H.  Lin and W. C. W. Lee

    Article first published online : 26 MAY 2011, DOI: 10.1002/for.1237

  3. Implied volatility forecasts in the grains complex

    Journal of Futures Markets

    Volume 22, Issue 10, October 2002, Pages: 959–981, David P. Simon

    Article first published online : 13 AUG 2002, DOI: 10.1002/fut.10042

  4. SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS

    Journal of Applied Econometrics

    Volume 12, Issue 1, January 1997, Pages: 49–65, FABIO FORNARI and ANTONIO MELE

    Article first published online : 28 APR 1999, DOI: 10.1002/(SICI)1099-1255(199701)12:1<49::AID-JAE422>3.0.CO;2-6

  5. Modeling and forecasting of stock index volatility with APARCH models under ordered restriction

    Statistica Neerlandica

    Volume 69, Issue 3, August 2015, Pages: 329–356, Milton Abdul Thorlie, Lixin Song, Muhammad Amin and Xiaoguang Wang

    Article first published online : 18 FEB 2015, DOI: 10.1111/stan.12062

  6. Detecting and modeling changing volatility in the copper futures market

    Journal of Futures Markets

    Volume 19, Issue 1, February 1999, Pages: 79–100, Kevin Bracker and Kenneth L. Smith

    Article first published online : 1 FEB 1999, DOI: 10.1002/(SICI)1096-9934(199902)19:1<79::AID-FUT4>3.0.CO;2-K

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    BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY-TAILS FOR FINANCIAL TIME SERIES

    Japanese Economic Review

    Volume 63, Issue 1, March 2012, Pages: 81–103, JOUCHI NAKAJIMA

    Article first published online : 25 MAY 2011, DOI: 10.1111/j.1468-5876.2011.00537.x

  8. The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

    Journal of Futures Markets

    Volume 27, Issue 4, April 2007, Pages: 337–359, Pierre Giot and Sébastien Laurent

    Article first published online : 13 FEB 2007, DOI: 10.1002/fut.20251

  9. SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?

    Journal of Financial Research

    Volume 30, Issue 3, Fall 2007, Pages: 355–377, Susan Thorp and George Milunovich

    Article first published online : 6 AUG 2007, DOI: 10.1111/j.1475-6803.2007.00218.x

  10. Fractional Integration and Asymmetric Volatility in European, American and Asian Bull and Bear Markets: Application to High-frequency Stock Data

    International Journal of Finance & Economics

    Volume 20, Issue 3, July 2015, Pages: 276–290, Ola Oluwa S. Yaya, Luis A. Gil-Alana and Olanrewaju I. Shittu

    Article first published online : 14 APR 2015, DOI: 10.1002/ijfe.1515

  11. A Study of Value-at-Risk Based on M-Estimators of the Conditional Heteroscedastic Models

    Journal of Forecasting

    Volume 31, Issue 5, August 2012, Pages: 377–390, Farhat Iqbal and Kanchan Mukherjee

    Article first published online : 26 FEB 2011, DOI: 10.1002/for.1224

  12. Forecasting performance of extreme-value volatility estimators

    Journal of Futures Markets

    Volume 27, Issue 11, November 2007, Pages: 1085–1105, Vipul and Joshy Jacob

    Article first published online : 12 SEP 2007, DOI: 10.1002/fut.20283

  13. News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns

    The Journal of Finance

    Volume 59, Issue 2, April 2004, Pages: 755–793, John M. Maheu and Thomas H. McCurdy

    Article first published online : 25 MAR 2004, DOI: 10.1111/j.1540-6261.2004.00648.x

  14. On the Asymmetric Volatility of Employment Outflows

    LABOUR

    Volume 16, Issue 4, December 2002, Pages: 707–728, Gareth Leeves

    Article first published online : 7 JAN 2003, DOI: 10.1111/1467-9914.00213

  15. Model Selection and Testing of Conditional and Stochastic Volatility Models

    Handbook of Volatility Models and Their Applications

    Massimiliano Caporin, Michael McAleer, Pages: 199–222, 2012

    Published Online : 27 MAR 2012, DOI: 10.1002/9781118272039.ch8

  16. Estimating and predicting multivariate volatility thresholds in global stock markets

    Journal of Applied Econometrics

    Volume 21, Issue 3, April 2006, Pages: 345–369, Francesco Audrino and Fabio Trojani

    Article first published online : 18 APR 2006, DOI: 10.1002/jae.869

  17. Non-trading day effects in asymmetric conditional and stochastic volatility models

    The Econometrics Journal

    Volume 10, Issue 1, March 2007, Pages: 113–123, Manabu Asai and Michael McAleer

    Article first published online : 1 FEB 2007, DOI: 10.1111/j.1368-423X.2007.00201.x

  18. Cross-Sectional Distribution of GARCH Coefficients Across S&P 500 Constituents: Time-Variation Over the Period 2000–2012

    Wilmott

    Volume 2013, Issue 66, July 2013, Pages: 40–45, David Ardia and Lennart F. Hoogerheide

    Article first published online : 19 SEP 2013, DOI: 10.1002/wilm.10232

  19. Exchange Rate Exposure of Sectoral Returns and Volatilities: Further Evidence From Japanese Industrial Sectors

    Pacific Economic Review

    Volume 19, Issue 2, May 2014, Pages: 216–236, Prabhath Jayasinghe, Albert K. Tsui and Zhaoyong Zhang

    Article first published online : 27 APR 2014, DOI: 10.1111/1468-0106.12061

  20. Stock return dynamics, option volume, and the information content of implied volatility

    Journal of Futures Markets

    Volume 23, Issue 7, July 2003, Pages: 615–646, Stewart Mayhew and Chris Stivers

    Article first published online : 22 MAY 2003, DOI: 10.1002/fut.10084