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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C. and Kolbe, A. 
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 abso...    »
 
Stichworte:
index options, quotation data, absolute returns, Poisson regression, autocorrelation, Markov Chain Monte Carlo, DIC 
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry 
Jahr:
2007 
Band / Volume:
23 
Heft / Issue:
Seitenangaben Beitrag:
1-21 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 07 
Format:
Text