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Category Archives: Multifactor Models
RangeBased EGARCH Option Pricing Models (REGARCH)
The research in this post and the related paper on Range Based EGARCH Option pricing Models is focused on the innovative rangebased volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD). We develop new option pricing models using … Continue reading →
Posted in Financial Engineering, Forecasting, Long Memory, Multifactor Models, Options, REGARCH, S&P500 Index, Volatility Modeling

Tagged MultiFactor Models, Option Pricing, REGARCH, S&P500 Index

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Modeling Asset Volatility
I am planning a series of posts on the subject of asset volatility and option pricing and thought I would begin with a survey of some of the central ideas. The attached presentation on Modeling Asset Volatility sets out the foundation … Continue reading →
Posted in Black Noise, Cointegration, Derivatives, Direction Prediction, Dispersion, Forecasting, Fractional Brownian Motion, Fractional Cointegration, Fractional Integration, Long Memory, Mean Reversion, Momentum, Multifactor Models, Options, Pink Noise, REGARCH, Regime Shifts, Volatility Modeling, White Noise

Tagged Black Noise, Cointegration, Direction Prediction, Fractional Brownian Motion, Fractional Cointegration, Fractional Integration, GARCH, Long Memory, Mean Reversion, Momentum, MultiFactor Models, Pink Noise, REGARCH, Regime Shifts, Volatility, Volatility Dynamics, White Noise

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