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Option Pricing Using Realized Volatility and ARCH Type Models

Option Pricing Using Realized Volatility and ARCH Type Models
デジタル文書・図像類
渡部, 敏明, 生方, 雅人Institute of Economic Research, Hitotsubashi University2009-04
インターネットで読める全国の図書館
  • 要約等...urns. The both ARFIMA and ARFIMAX models are em......s are: (1) the ARFIMAX model with daily realized vo...
  • 件名ARFIMA GARCH Microstructure Noise Op...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・図像類
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
全国の図書館
  • 件名ARFIMA Leverage effect Long memory M...

Realized Stochastic Volatility with Leverage and Long Memory

Realized Stochastic Volatility with Leverage and Long Memory
紙文書・図像類
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
全国の図書館
  • 件名ARFIMA 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
デジタル文書・図像類
Iida, Takeshi早稲田大学高等研究所2008-08-01WIAS Discussion Paper2008 002p.1-29
インターネットで読める全国の図書館
  • 件名time-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
デジタル文書・図像類
石田, 功, 渡部, 敏明Institute of Economic Research, Hitotsubashi University2009-02
インターネットで読める全国の図書館
  • 要約等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.
  • 件名ARFIMA-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
紙文書・図像類
Ishida, Isao, Toshiaki, Watanabe日本経済国際共同センター2009-01Discussion paper series. CIRJE-FCIRJE-F-608
全国の図書館
  • 件名...C22, C53, G15. ARFIMA-GARCH Volatility of realized ...

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