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dc.contributor.author Bollerslev, T
dc.contributor.author Mikkelsen, HO
dc.date.accessioned 2010-03-09T15:29:12Z
dc.date.issued 1999-09-01
dc.identifier.citation Journal of Econometrics, 1999, 92 (1), pp. 75 - 99
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10161/1894
dc.description.abstract Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.
dc.format.extent 75 - 99
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.title Long-term equity anticipation securities and stock market volatility dynamics
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 92

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