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Option Pricing Using Realized Volatility and ARCH Type Models

Option Pricing Using Realized Volatility and ARCH Type Models
Digital規格・テクニカルリポート類
渡部, 敏明, 生方, 雅人Institute of Economic Research, Hitotsubashi University2009-04
Available onlineOther Libraries in Japan
  • Summary, etc....urns. The both ARFIMA and ARFIMAX models are em......s are: (1) the ARFIMAX model with daily realized vo...
  • Subject HeadingARFIMA GARCH Microstructure Noise Op...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper規格・テクニカルリポート類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2013-03Discussion paper series. CIRJE-FCIRJE-F-880
Other Libraries in Japan
  • Subject HeadingARFIMA Leverage effect Long memory M...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
Paper規格・テクニカルリポート類
Shirota, Shinichiro, Hizu, Takayuki, Omori, Yasuhiro日本経済国際共同センター2012-11Discussion paper series. CIRJE-FCIRJE-F-869
Other Libraries in Japan
  • Subject HeadingARFIMA leverage effect long memory M...

The Changing Impact of Conservatism on Civic Engagement A Time Series Analysis Using ARFIMA and Time-varying Parameter Modeling

The Changing Impact of Conservatism on Civic Engagement A Time Series Analysis Using ARFIMA and Time-varying Parameter Modeling
Digital規格・テクニカルリポート類
Iida, Takeshi早稲田大学高等研究所2008-08-01WIAS Discussion Paper2008 002p.1-29
Available onlineOther Libraries in Japan
  • Subject Headingtime-series analysis, ARFIMA, time-varying parameter, cons...

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Digital規格・テクニカルリポート類
石田, 功, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-02
Available onlineOther Libraries in Japan
  • Summary, etc.In this paper, we apply the ARFIMA-GARCH model to...... homoskedastic ARFIMA model performs......volatility. An ARFIMA model augmente......aptured by the ARFIMA-GARCH model.
  • Subject HeadingARFIMA-GARCH Volatility of realized ...

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
Paper規格・テクニカルリポート類
Ishida, Isao, Toshiaki, Watanabe日本経済国際共同センター2009-01Discussion paper series. CIRJE-FCIRJE-F-608
Other Libraries in Japan
  • Subject Heading...C22, C53, G15. ARFIMA-GARCH Volatility of realized ...

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