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Browsing Duke Faculty Articles by Subject "GARCH"

DukeSpace

Browsing Duke Faculty Articles by Subject "GARCH"

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  • Common Persistence in Conditional Variances
    Bollerslev, Tim; Engle, Robert F. (Econometrica, 1994)
    Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with ...
  • The performance of alternative valuation models in the OTC currency options market
    Bollen, N. P.B; Rasiel, Emma (Journal of International Money and Finance, 2003)
    We compare option valuation models based on regime-switching, GARCH, and jump-diffusion processes to a standard “smile” model, in which Black and Scholes (1973) implied volatilities are allowed to vary across strike prices. ...