## Abstract It is now 20 years since the publication of Engle's (1982) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In t
Excess price volatility and financial innovation
β Scribed by Alessandro Citanna; Karl Schmedders
- Publisher
- Springer
- Year
- 2005
- Tongue
- English
- Weight
- 256 KB
- Volume
- 26
- Category
- Article
- ISSN
- 0938-2259
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate future
On the basis of the theory of a wedge between the physical and riskβneutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in BaroneβAdesi, G.,