Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics

dc.contributor.author	Bollerslev, Tim	en_US
dc.contributor.author	Mikkelsen, H.O.	en_US
dc.date.accessioned	2010-03-09T15:29:12Z
dc.date.available	2010-03-09T15:29:12Z
dc.date.issued	1999	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1894
dc.description.abstract	Recent empirical "ndings 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 "nd that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model.	en_US
dc.format.extent	166063 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of Econometrics	en_US
dc.subject	Fractionally integrated EGARCH	en_US
dc.subject	Long memory	en_US
dc.subject	Option pricing	en_US
dc.subject	Stock market volatility	en_US
dc.title	Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics	en_US
dc.type	Journal Article	en_US
dc.department	Economics