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Document type:
Zeitschriftenaufsatz
Author(s):
Czado, C. and Kolbe, A.
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...    »
Keywords:
index options, quotation data, absolute returns, Poisson regression, autocorrelation, Markov Chain Monte Carlo, DIC
Journal title:
Applied Stochastic Models in Business and Industry
Year:
2007
Journal volume:
23
Journal issue:
1
Pages contribution:
1-21
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Semester:
SS 07
Format:
Text
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