Matches in SemOpenAlex for { <https://semopenalex.org/work/W609530306> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W609530306 abstract "This dissertation studies the patterns of term-structure of implied volatility and examines the performance of different specifications of time-series and options-based volatility forecasting models under the influence of the observed market biases. Our research is based primarily upon the use of SP 2) to compare the performance of asymmetric power ARCH and EGARCH models; 3) to evaluate the forecasting performance of time-series and options-based variance swap valuation models. The observed market anomalies in the term-structure of implied volatility of SP 2) implied volatility is predominantly a monotonically decreasing function of maturity and therefore options-based strategy cannot produce enough variance term-structure patterns; 3) distributional dynamics implied by option parameters is not consistent with its time-series data as stipulated by the maximum likelihood estimation of the square-root process. Future research needs to use a larger sample set in order to establish a more statistically significant result to justify our findings. Until then we have a strong reservation about the use of Demeterfi et al. methodology for vari anceforecasting" @default.
- W609530306 created "2016-06-24" @default.
- W609530306 creator A5048680027 @default.
- W609530306 date "2004-02-01" @default.
- W609530306 modified "2023-09-26" @default.
- W609530306 title "Essays on the Modelling of S&P 500 Volatility" @default.
- W609530306 hasPublicationYear "2004" @default.
- W609530306 type Work @default.
- W609530306 sameAs 609530306 @default.
- W609530306 citedByCount "0" @default.
- W609530306 crossrefType "dissertation" @default.
- W609530306 hasAuthorship W609530306A5048680027 @default.
- W609530306 hasConcept C106159729 @default.
- W609530306 hasConcept C117996083 @default.
- W609530306 hasConcept C13290067 @default.
- W609530306 hasConcept C149782125 @default.
- W609530306 hasConcept C162324750 @default.
- W609530306 hasConcept C165603445 @default.
- W609530306 hasConcept C192620184 @default.
- W609530306 hasConcept C24189920 @default.
- W609530306 hasConcept C33923547 @default.
- W609530306 hasConcept C60092789 @default.
- W609530306 hasConcept C91602232 @default.
- W609530306 hasConceptScore W609530306C106159729 @default.
- W609530306 hasConceptScore W609530306C117996083 @default.
- W609530306 hasConceptScore W609530306C13290067 @default.
- W609530306 hasConceptScore W609530306C149782125 @default.
- W609530306 hasConceptScore W609530306C162324750 @default.
- W609530306 hasConceptScore W609530306C165603445 @default.
- W609530306 hasConceptScore W609530306C192620184 @default.
- W609530306 hasConceptScore W609530306C24189920 @default.
- W609530306 hasConceptScore W609530306C33923547 @default.
- W609530306 hasConceptScore W609530306C60092789 @default.
- W609530306 hasConceptScore W609530306C91602232 @default.
- W609530306 hasLocation W6095303061 @default.
- W609530306 hasOpenAccess W609530306 @default.
- W609530306 hasPrimaryLocation W6095303061 @default.
- W609530306 hasRelatedWork W171669014 @default.
- W609530306 hasRelatedWork W1931136540 @default.
- W609530306 hasRelatedWork W2095966212 @default.
- W609530306 hasRelatedWork W2165113309 @default.
- W609530306 hasRelatedWork W2181302279 @default.
- W609530306 hasRelatedWork W2188771470 @default.
- W609530306 hasRelatedWork W2342252171 @default.
- W609530306 hasRelatedWork W2602106594 @default.
- W609530306 hasRelatedWork W2791621775 @default.
- W609530306 hasRelatedWork W2899578355 @default.
- W609530306 hasRelatedWork W2912723097 @default.
- W609530306 hasRelatedWork W2973128568 @default.
- W609530306 hasRelatedWork W2985580651 @default.
- W609530306 hasRelatedWork W3022619809 @default.
- W609530306 hasRelatedWork W3122162371 @default.
- W609530306 hasRelatedWork W3124133122 @default.
- W609530306 hasRelatedWork W3124230046 @default.
- W609530306 hasRelatedWork W3126087538 @default.
- W609530306 hasRelatedWork W3165181896 @default.
- W609530306 hasRelatedWork W2185024794 @default.
- W609530306 isParatext "false" @default.
- W609530306 isRetracted "false" @default.
- W609530306 magId "609530306" @default.
- W609530306 workType "dissertation" @default.