Option Pricing Using Realized Volatility and ARCH Type Models

Notes on use

Detailed bibliographic record

Summary, etc.：: This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Differ...

Search by Bookstore

This page shows libraries in Japan other than the National Diet Library that hold the material.

Please contact your local library for information on how to use materials or whether it is possible to request materials from the holding libraries.

other

HERMES-IR (Hitotsubashi University Repository): Research & Education Resources
Digital
You can check the holdings of institutions and databases with which Institutional Repositories DataBase(IRDB)(Institutional Repository) is linked at the site of Institutional Repositories DataBase(IRDB)(Institutional Repository).
HERMES-IR (Hitotsubashi University Repository): Research & Education Resources

You can check the details of this material, its authority (keywords that refer to materials on the same subject, author's name, etc.), etc.

Material Type: 文書・図像類
Title: Option Pricing Using Realized Volatility and ARCH Type Models
Author/Editor: 渡部, 敏明
生方, 雅人
Author Heading: 渡部, 敏明ワタナベ, トシアキ
https://nrid.nii.ac.jp/nrid/1000090254135/
生方, 雅人ウブカタ, マサト
Publication, Distribution, etc.: Institute of Economic Research, Hitotsubashi University
Publication Date: 2009-04
Publication Date (W3CDTF): 2009-04
Contributor: 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Text Language Code: eng
Subject Heading: ARFIMA
GARCH
Microstructure Noise
Option
Realized Volatility
Target Audience: 一般
Note (General): グローバルCOEプログラム = Global COE Program
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/17347/gd09-066.pdf
Access Restrictions: インターネット公開
Periodical Title: Global COE Hi-Stat Discussion Paper Series ; No. 66
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources