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Modelling implied volatility with OLS and panel data models · Study

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ArticleModelling implied volatility with OLS and panel data models

Mthuli Z. Ncube1996

Article1996

Modelling implied volatility with OLS and panel data models

Mthuli Z. Ncube

25 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1965The Behavior of Stock-Market Prices 1973Theory of Rational Option Pricing 2003Analysis of Panel Data 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous

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Year1996

Typearticle

Published1996-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0378-4266(94)00109-x

openalex_workW2019821755

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