Model‐based quantification of the volatility of options at transaction level with extended count regression models

DOI10.1002/ASMB.634zbMath1145.91043OpenAlexW2153999489MaRDI QIDQ5430333

Andreas Kolbe, Claudia Czado

Publication date: 16 December 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.634

zbMATH Keywords

Markov chain Monte CarloPoisson regressionautocorrelationindex optionsabsolute returnsquotation data

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Efficient regression modeling for correlated and overdispersed count data ⋮ A statistical model for under- or overdispersed clustered and longitudinal count data

Cites Work

• Econometric modelling of stock market intraday activity.
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