The Gram-Charlier Expansion (GCE) of the Gaussian density under GARCH framework has been widely used to model the conditional dynamic higher moments. Compared with other generalized distributions…

We propose a closed-form pricing formula for the Chicago Board Options Exchange Volatility Index (CBOE VIX) futures based on the classic discrete-time Heston–Nandi GARCH model. The parameters are…

We derive a pricing formula for European options for the Realized GARCH framework based on an analytical approximation using an Edgeworth expansion for the density of cumulative return. Existing…

Using the data of SOEs and Non-SOEs in industrial sector of China from 1998 to 2007, we investigate the impact of privatization on TFP. We construct a difference in difference model and use propensity…

The empirical results of the risk-return relationship are mixed for both mature and merging markets. In this paper, we develop a new volatility model to revisit the risk-return relation of the…

Long memory is an important feature of the volatility of financial returns. We document that the recently developed Realized GARCH model (Hansen et al., 2012) is insufficient for capturing the long…