Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Heterogeneous Information Arrival and Option Pricing. (1997). Ncube, Mthuli ; Asea, Patrick K..
In: NBER Working Papers.
RePEc:nbr:nberwo:5950.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 33

References cited by this document

Cocites: 61

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ahn, 1992, Option Pricing when Jump Risk is Stochastic, Mathematical Finance 2, 299-308.

  2. Andersen, T.G., 1996, Return Volatility and Trading Volume: An Information Flow Inter- pretation of Stochastic Volatility, Journal of Finance 51(1), 169-204.

  3. Asea, P.K. and M. Ncube., 1996a, Estimation of Markov Modulated Doubly Stochastic Poisson Processes, unpublished manuscript, UCLA.
    Paper not yet in RePEc: Add citation now
  4. Asea, P.K. and M. Ncube., 1996b, Option Pricing with Diffusion Doubly Stochastic Poisson Processes and Stochastic Differential Utility, unpublished manuscript, UCLA.
    Paper not yet in RePEc: Add citation now
  5. Asea, P.K. and M. Ncube., 1996c, Option Pricing with Diffusion Doubly Stochastic Poisson Processes and Stochastic Volatility, unpublished manuscript, UCLA.
    Paper not yet in RePEc: Add citation now
  6. Back, K., 1991, Asset Pricing for General Processes, Journal of Mathematical Economics 20, 371-395.

  7. Bates, D.S., 1991, The Crash of 87: Was it Expected?, Journal of Finance 46, 1009-1044.
    Paper not yet in RePEc: Add citation now
  8. Beaglehole, D.R., 1993, Jump Diffusion Asset Pricing with Stochastic Intensity, Unpublished Paper, Goldman, Sachs and Co., New York.
    Paper not yet in RePEc: Add citation now
  9. Berry, T. D. and K. M. Howe, 1994, Public Information Arrival, Journal of Finance, 49(4), 1331-46.

  10. Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 736-754.

  11. Black, F., 1975, Fact and Fantasy in the Use of Options, Financial Analyst Journal, July/August, 36-72.
    Paper not yet in RePEc: Add citation now
  12. Breeden, D., 1979, An Intertemporal Capital Asset Pricing Model with Stochastic Investment Opportunities, Journal of Financial Economics 7, 265-296.

  13. Brown, S. and P. Dybvig, (1986), The Empirical Implications of the CIR Theory of the Term Structure of Interest Rates, Journal of Finance 617-630.

  14. Cox, J.C. and S. Ross, 1976, The Valuation of Options for Alternative Stochastic Processes, Journal of Financial Economics 3, 145-166.

  15. Cox, J.C., J.E. Ingersoll, and S.A. Ross, 1985, An Intertemporal General Equilibrium Model of Asset Prices, Econometrica 53, 363-384.

  16. Gihman, I. and A. Skorokhod, 1972, Stochastic Differential Equations, (Springer-Verlag).
    Paper not yet in RePEc: Add citation now
  17. Harrison, J.M. and D. Kreps, 1979, Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory 20, 381-408.

  18. Heston, S.L., 1993, Invisible Parameters in Option Prices, Journal of Finance XLVIII, 933- 947.

  19. Huang, C., 1987, An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information, Econometrica 55, 117-142.

  20. Jarrow, R. and E. Rosenfeld, 1984, Jump Risks and the Intertemporal Capital Asset Pricing Model, Journal of Business 57, 337-351.

  21. MacBeth, J.D. and L.J. Merville, 1979, An Empirical Examination of the Black-Scholes Call Option Pricing Model, Journal of Finance 14, 1173-1186.

  22. Merton, R., 1971, Optimal Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory 3, 373-413.
    Paper not yet in RePEc: Add citation now
  23. Merton, R., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica 41, 867-80.

  24. Merton, R., 1976, Option Pricing when Underlying Stock Returns are Discontinuous, Journal of Financial Economics 3, 125-144.

  25. Naik, V. and M. Lee, 1990, General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns, Review of Financial Studies 3, 493-521.

  26. Ogata, Y., 1978, The asymptotic behavior of maximum likelihood estimators for stationary point processes, Annals of the Institute of Statistical Mathematics 30, 243-261.
    Paper not yet in RePEc: Add citation now
  27. Penman, S.H., 1987, The Distribution of Earnings News over Time and Seasonalities in 34 Aggregate Stock Returns, Journal of Financial Economics 18, 199-228.

  28. Rao, C.R., 1973, Linear Statistical Inference and its Applications, (New York: Wiley).
    Paper not yet in RePEc: Add citation now
  29. Rubinstein, M., 1976, The Valuation of Uncertain Income Streams and the Pricing of Op- tions, Bell Journal of Economics 7, 407-425.
    Paper not yet in RePEc: Add citation now
  30. Rudin, W., 1976, Principles of Mathematical Analysis, 3rd Ed., (New York: McGraw Hill).
    Paper not yet in RePEc: Add citation now
  31. Scott, L.O., 1987, Option Pricing when the Variance Changes Randomly: Theory, Estimation and Application, Journal of Financial and Quantitative Analysis 22, 419-438.

  32. Snyder, D.L. and M.I. Miller, 1991, Random Point Processes in Time and Space, (Springer Verlag).
    Paper not yet in RePEc: Add citation now
  33. Tauchen, G. and M. Pitts, 1983, The Price Variability-Volume Relationship on Speculative Markets, Econometrica 51, 485-505.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Approximate Hedging of Options under Jump-Diffusion Processes. (2013). Chiarella, Carl ; Cheang, Gerald ; Mina, Karl .
    In: Research Paper Series.
    RePEc:uts:rpaper:340.

    Full description at Econpapers || Download paper

  2. Using news analytics data in GARCH models. (2013). Balash, Vladimir ; Date, Paresh ; Sidorov, Sergei .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0204.

    Full description at Econpapers || Download paper

  3. Futures price volatility in commodities markets: The role of short term vs long term speculation. (2013). Nicolini, Marcella ; Manera, Matteo ; Vignati, Ilaria .
    In: Working Papers.
    RePEc:mib:wpaper:243.

    Full description at Econpapers || Download paper

  4. Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation. (2013). Nicolini, Marcella ; Manera, Matteo.
    In: Working Papers.
    RePEc:fem:femwpa:2013.45.

    Full description at Econpapers || Download paper

  5. Financial globalization and stock market risk. (2012). Mollick, Andre ; ESQUEDA, OMAR ; Assefa, Tibebe A..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:1:p:87-102.

    Full description at Econpapers || Download paper

  6. Wine price risk management: International diversification and derivative instruments. (2012). Markellos, Raphael ; Kourtis, Apostolos ; Psychoyios, Dimitris.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:22:y:2012:i:c:p:30-37.

    Full description at Econpapers || Download paper

  7. Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bień-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna .
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:12:y:2012:p:35-52.

    Full description at Econpapers || Download paper

  8. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
    In: Annals of Finance.
    RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

    Full description at Econpapers || Download paper

  9. When Market Illiquidity Generates Volumes. (2010). Mero, Gulten ; Le Fol, Gaelle ; darolles, serge.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00536046.

    Full description at Econpapers || Download paper

  10. The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap. (2010). Lin, Shih-Kuei ; Wang, Shin-Yun .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:1:p:106-118.

    Full description at Econpapers || Download paper

  11. How Duration Between Trades of Underlying Securities Affects Option Prices. (2009). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: MPRA Paper.
    RePEc:pra:mprapa:16179.

    Full description at Econpapers || Download paper

  12. Risk Matters: The Real Effects of Volatility Shocks. (2009). Uribe, Martín ; Rubio-Ramirez, Juan F ; Guerron, Pablo ; Fernandez-Villaverde, Jesus.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:09-013.

    Full description at Econpapers || Download paper

  13. Risk Matters: The Real Effects of Volatility Shocks. (2009). Uribe, Martín ; Rubio-Ramirez, Juan F ; Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Fernndez-Villaverde, Jess ; Guerrn-Quintana, Pablo A. ; Rubio-Ramrez, Juan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14875.

    Full description at Econpapers || Download paper

  14. The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market. (2009). Pandey, Ajay ; Singh, Priyanka ; Kumar, Brajesh ; Rajeshkumar, B.
    In: IIMA Working Papers.
    RePEc:iim:iimawp:9354.

    Full description at Econpapers || Download paper

  15. Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2009_03.

    Full description at Econpapers || Download paper

  16. Risk Matters: The Real Effects of Volatility Shocks. (2009). Uribe, Martín ; Rubio-Ramirez, Juan F ; Guerron, Pablo ; Fernandez-Villaverde, Jesus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7264.

    Full description at Econpapers || Download paper

  17. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-30.

    Full description at Econpapers || Download paper

  18. Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity. (2008). Richard, Jean-Francois ; Jung, Robert ; Liesenfeld, Roman .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7365.

    Full description at Econpapers || Download paper

  19. Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market. (2008). Bhaumik, Sumon ; Karanasos, M. ; Kartsaklas, A..
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2008-935.

    Full description at Econpapers || Download paper

  20. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per .
    In: Working Papers.
    RePEc:qed:wpaper:1173.

    Full description at Econpapers || Download paper

  21. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:389.

    Full description at Econpapers || Download paper

  22. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Papers.
    RePEc:nuf:econwp:0804.

    Full description at Econpapers || Download paper

  23. Return, Trading Volume, and Market Depth in Currency Futures Markets. (2008). Cheung, Yin-Wong ; Cheng, Ai-Ru .
    In: Working Papers.
    RePEc:hkm:wpaper:202008.

    Full description at Econpapers || Download paper

  24. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-49.

    Full description at Econpapers || Download paper

  25. Price–volume relations of DAX companies. (2007). Mestel, Roland ; Majdosz, Paweł ; Gurgul, Henryk.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:21:y:2007:i:3:p:353-379.

    Full description at Econpapers || Download paper

  26. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-21.

    Full description at Econpapers || Download paper

  27. The Neuer Markt is Dead. Long Live the Neuer Markt!. (2006). Sell, John .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:12:y:2006:i:2:p:191-202.

    Full description at Econpapers || Download paper

  28. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE. (2006). Lafuente, Juan Angel ; Illueca, Manuel ; Muoz, Manuel Illueca .
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2006-05.

    Full description at Econpapers || Download paper

  29. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Chaboud, Alain ; Howorka, Edward.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:862.

    Full description at Econpapers || Download paper

  30. Dynamic asset pricing theory with uncertain time-horizon. (2005). Martellini, Lionel ; Blanchet-Scalliet, Christophette ; el Karoui, Nicole.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:10:p:1737-1764.

    Full description at Econpapers || Download paper

  31. Does trading volume really explain stock returns volatility?. (2004). Ureche-Rangau, Loredana ; ureche -Rangau, Loredana ; Ane, Thierry .
    In: Working Papers.
    RePEc:ies:wpaper:f200402.

    Full description at Econpapers || Download paper

  32. Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space. (2004). Shimada, Junji ; Tsukuda, Yoshihiko.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:611.

    Full description at Econpapers || Download paper

  33. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility. (2004). Hurn, Stan ; Clements, Adam ; White, Scott I..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:46.

    Full description at Econpapers || Download paper

  34. Testing weak exogeneity in the exponential family : an application to financial point processes. (2004). Veredas, David ; Dolado, Juan ; RODRIGUEZ-POO, Juan .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2004049.

    Full description at Econpapers || Download paper

  35. The Effects of Economic News on Bond Market Liquidity. (2004). D'Souza, Chris ; Gaa, Charles.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-16.

    Full description at Econpapers || Download paper

  36. The role of information in Hong Kong individual stock futures trading. (2003). McKenzie, M. D. ; Brooks, R. D..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:2:p:123-131.

    Full description at Econpapers || Download paper

  37. GMM-based testing procedures of the mixture of distributions model. (2003). Zarraga, Ainhoa.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:11:p:841-848.

    Full description at Econpapers || Download paper

  38. Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden. (2003). Berg, Lennart.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:16:y:2003:i:2:p:61-71.

    Full description at Econpapers || Download paper

  39. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

    Full description at Econpapers || Download paper

  40. An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds. (2003). Yang, Jing ; D'Souza, Chris.
    In: Staff Working Papers.
    RePEc:bca:bocawp:03-28.

    Full description at Econpapers || Download paper

  41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

  42. Macroeconomic Factors Do Influence Aggregate Stock Returns. (2002). Flannery, Mark ; Protopapadakis, Aris A..
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:15:y:2002:i:3:p:751-782.

    Full description at Econpapers || Download paper

  43. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

  44. Trading volume in models of financial derivatives. (2001). lamper, David ; Howison, Sam .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:8:y:2001:i:2:p:119-135.

    Full description at Econpapers || Download paper

  45. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-27.

    Full description at Econpapers || Download paper

  46. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7933.

    Full description at Econpapers || Download paper

  47. Stochastic volatility models: conditional normality versus heavy-tailed distributions. (2000). Jung, Robert ; Liesenfeld, Roman .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:2:p:137-160.

    Full description at Econpapers || Download paper

  48. Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.. (2000). Berg, Lennart.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2000_009.

    Full description at Econpapers || Download paper

  49. Microstructure Effects on Daily Return Volatility in Financial Markets. (2000). Krause, Andreas.
    In: Papers.
    RePEc:arx:papers:cond-mat/0011295.

    Full description at Econpapers || Download paper

  50. Trading Fast and Slow: Security Market Events in Real Time. (1999). Hasbrouck, Joel .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-012.

    Full description at Econpapers || Download paper

  51. Information-time option pricing: theory and empirical evidence. (1998). Chang Carolyn W., ; S. K. Chang Jack, ; Kian-Guan, Lim.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:48:y:1998:i:2:p:211-242.

    Full description at Econpapers || Download paper

  52. Heterogeneous information arrival and option pricing. (1998). Ncube, Mthuli ; Asea, Patrick K..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:83:y:1998:i:1-2:p:291-323.

    Full description at Econpapers || Download paper

  53. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6023.

    Full description at Econpapers || Download paper

  54. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance. (1997). Das, Sanjiv ; Sundaram, Rangarajan K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5976.

    Full description at Econpapers || Download paper

  55. Heterogeneous Information Arrival and Option Pricing. (1997). Ncube, Mthuli ; Asea, Patrick K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5950.

    Full description at Econpapers || Download paper

  56. What moves the bond market?. (1997). Remolona, Eli ; Fleming, Michael.
    In: Research Paper.
    RePEc:fip:fednrp:9706.

    Full description at Econpapers || Download paper

  57. Heterogeneous Information Arrival and Option Pricing. (1997). Nube, Mthuli ; Asea, Patrick.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:763.

    Full description at Econpapers || Download paper

  58. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. (1996). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5783.

    Full description at Econpapers || Download paper

  59. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. (1996). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5752.

    Full description at Econpapers || Download paper

  60. A NO-ARBITRAGE MARTINGALE ANALYSIS FOR JUMP-DIFFUSION VALUATION. (1995). Chang, Carolyn W..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:18:y:1995:i:3:p:351-381.

    Full description at Econpapers || Download paper

  61. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 02:27:24 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.