14-153/III - Econometric Analysis of Financial Derivatives: An Overview

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain
• Publication date
  December 16, 2014

• Keywords
  Stochastic volatility, switching volatility, volatility risk, option pricing dynamics, futures prices, fractional integration, stochastic dominance, variance risk premium, fat tails, leverage and asymmetry, divided governments
• JEL
  C55, C58, G23, G32