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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