User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, C.; Kolbe, A. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
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 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2006 
Journal volume:
23 
Journal issue:
Pages contribution:
1-21 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions