- Economics - Research Publications
Economics - Research Publications
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ItemImplicit Bayesian inference using option pricesMartin, GM ; Forbes, CS ; Martin, VL (BLACKWELL PUBL LTD, 2005-05)Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.
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ItemPanel stationarity tests for purchasing power parity with cross-sectional dependenceHarris, D ; Leybourne, S ; McCabe, B (TAYLOR & FRANCIS INC, 2005-10)
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ItemA residual-based test for stochastic cointegrationMcCabe, B ; Leybourne, S ; Harris, D (CAMBRIDGE UNIV PRESS, 2006-06)
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ItemEstimating variable returns to scale production frontiers with alternative stochastic assumptionsGriffiths, WE ; O'Donnell, CJ (ELSEVIER SCIENCE SA, 2005-06)
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ItemAntitrust issues in international comparisons of market structureHIRSCHBERG, JG ; MASSOUMI, E ; SLOTTJE, DJ ; ARIZE, A ( 2003)
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ItemSome limit theory for autocovariances whose order depends on sample sizeHarris, D ; McCabe, B ; Leybourne, S (CAMBRIDGE UNIV PRESS, 2003-10)
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ItemIdentification and Estimation in Sequential, Asymmetric, English AuctionsBRENDSTRUP, B. ; PAARSCH, H. ( 2006)