Details about Marcel Scharth

Access statistics for papers by Marcel Scharth.

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

Short-id: psc385

Working Papers

2014

1. Asymmetric Realized Volatility Risk
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico View citations (1)
   Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2014) View citations (4)
   See also Journal Article Asymmetric Realized Volatility Risk, JRFM, MDPI (2014) View citations (3) (2014)

2013

2. Modeling and predicting the CBOE market volatility index
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (5)
   Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2007) View citations (14)
   See also Journal Article Modeling and predicting the CBOE market volatility index, Journal of Banking & Finance, Elsevier (2014) View citations (121) (2014)
3. Realized volatility risk
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
   Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (9)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2010) View citations (6)
   Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2010) View citations (2)
   KIER Working Papers, Kyoto University, Institute of Economic Research (2010) View citations (1)

2006

4. Asymmetric effects and long memory in the volatility of Dow Jones stocks
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (5)
   See also Journal Article Asymmetric effects and long memory in the volatility of Dow Jones stocks, International Journal of Forecasting, Elsevier (2009) View citations (41) (2009)

Journal Articles

2014

1. Asymmetric Realized Volatility Risk
   JRFM, 2014, 7, (2), 1-30 View citations (3)
   See also Working Paper Asymmetric Realized Volatility Risk, Documentos de Trabajo del ICAE (2014) View citations (1) (2014)
2. Modeling and predicting the CBOE market volatility index
   Journal of Banking & Finance, 2014, 40, (C), 1-10 View citations (121)
   See also Working Paper Modeling and predicting the CBOE market volatility index, Textos para discussão (2013) View citations (5) (2013)

2012

3. The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
   Journal of Financial Econometrics, 2012, 11, (1), 76-115 View citations (40)

2011

4. Monte Carlo option pricing with asymmetric realized volatility dynamics
   Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1247-1256 View citations (3)

2009

5. Asymmetric effects and long memory in the volatility of Dow Jones stocks
   International Journal of Forecasting, 2009, 25, (2), 304-327 View citations (41)
   See also Working Paper Asymmetric effects and long memory in the volatility of Dow Jones stocks, Textos para discussão (2006) View citations (5) (2006)