This paper proposes a semiparametric approach by introducing a smooth scale function into the standard generalized autoregressive conditional heteroskedastic (GARCH) model so that conditional ...
In this paper a flexible multiple regime GARCH(1, 1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are ...
We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional ...
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