Long-term equity anticipation securities and stock market volatility dynamics

DOI10.1016/S0304-4076(98)00086-4zbMath0933.62125OpenAlexW1974036667WikidataQ126778627 ScholiaQ126778627MaRDI QIDQ1302760

Hans Ole Mikkelsen, Tim Bollerslev

Publication date: 2 April 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00086-4

zbMATH Keywords

leapslong memorystock market volatilityfractionlly integrated EGARCHoption princing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (10)

An empirical comparison of GARCH option pricing models ⋮ Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility ⋮ Affine fractional stochastic volatility models ⋮ Pricing and hedging long-term options ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Implicit Bayesian Inference Using Option Prices ⋮ Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH ⋮ Financial econometrics: Past developments and future challenges ⋮ Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data ⋮ Copulas: A Review and Recent Developments

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Martingales and arbitrage in multiperiod securities markets
• ARCH modeling in finance. A review of the theory and empirical evidence
• The detection and estimation of long memory in stochastic volatility
• Modeling and pricing long memory in stock market volatility
• Pricing and hedging long-term options
• Long memory in continuous-time stochastic volatility models
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On a measure of lack of fit in time series models

This page was built for publication: Long-term equity anticipation securities and stock market volatility dynamics