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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C.; Kolbe, A. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Model-based Quantification of the Volatility of Options at Transaction Level with Extended Count Regression Models 
Abstract:
In this paper we elaborate how Poisson regression models of different complexity can be used in order to model absolute transaction price changes of an exchange-traded security. When combined with an adequate autoregressive conditional duration model, our modelling approach can be used to construct a complete modelling framework for a security?s absolute returns at transaction level and thus for a model-based quantification of intraday volatility and risk. We apply our approach to absolute price...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry 
Jahr:
2006 
Band / Volume:
23 
Heft / Issue:
Seitenangaben Beitrag:
1-21 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein