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Details about Marcel Scharth

E-mail:
Homepage:http://www.marcelscharth.com
Postal address:The University of Sydney Business School
Workplace:Discipline of Business Analytics, Business School, University of Sydney, (more information at EDIRC)

Access statistics for papers by Marcel Scharth.

Last updated 2015-07-16. Update your information in the RePEc Author Service.

Short-id: psc385


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Working Papers

2014

  1. Asymmetric Realized Volatility Risk
    Working Papers in Economics, University of Canterbury, Department of Economics and Finance Downloads View citations (3)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2014) Downloads View citations (3)

    See also Journal Article in Journal of Risk and Financial Management (2014)

2013

  1. Modeling and predicting the CBOE market volatility index
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Downloads View citations (5)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) Downloads View citations (14)

    See also Journal Article in Journal of Banking & Finance (2014)
  2. Realized volatility risk
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Downloads
    Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) Downloads View citations (1)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) Downloads View citations (6)
    KIER Working Papers, Kyoto University, Institute of Economic Research (2010) Downloads
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) Downloads View citations (7)

2006

  1. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2009)

Journal Articles

2014

  1. Asymmetric Realized Volatility Risk
    Journal of Risk and Financial Management, 2014, 7, (2), 1-30 Downloads View citations (3)
    See also Working Paper (2014)
  2. Modeling and predicting the CBOE market volatility index
    Journal of Banking & Finance, 2014, 40, (C), 1-10 Downloads View citations (56)
    See also Working Paper (2013)

2012

  1. The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
    Journal of Financial Econometrics, 2012, 11, (1), 76-115 Downloads View citations (34)

2011

  1. Monte Carlo option pricing with asymmetric realized volatility dynamics
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 Downloads View citations (1)

2009

  1. Asymmetric effects and long memory in the volatility of Dow Jones stocks
    International Journal of Forecasting, 2009, 25, (2), 304-327 Downloads View citations (32)
    See also Working Paper (2006)
 
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