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Chan, Wing H.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,263 |
Total
Citations
8 |
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1.
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The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Jha, Ranjini
University of Waterloo - School of Accounting and Finance Kalimipalli, Madhu
Wilfrid Laurier University - School of Business & Economics
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Posted:
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22 Jun 06
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Last Revised:
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26 Dec 08
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533
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Jha, Ranjini
University of Waterloo - School of Accounting and Finance Kalimipalli, Madhu
Wilfrid Laurier University - School of Business & Economics
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19 Nov 06
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Last Revised:
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26 Dec 08
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266
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realized volatility, implied volatility, combination forecasts, volatility timing, option strategie
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Kalimipalli, Madhu
Wilfrid Laurier University - School of Business & Economics Chan, Wing H.
Wilfrid Laurier University - Department of Economics Jha, Ranjini
University of Waterloo - School of Accounting and Finance
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267
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realized volatility, ARFIMA models, implied volatility, encompassing regressions, combination forecasts, volatility timing, option trading strategies
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2.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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213
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1
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Correlated Poisson jump, bivariate GARCH, time-varying jump intensity
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3.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Feng, LiLing
City University of Hong Kong (CityUHK) - Department of Economics & Finance
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29 Jul 08
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Last Revised:
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18 Aug 08
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166
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Time Varying Risk Premium, Poisson Jumps, Component GARCH, FIGARCH, Autoregressive Jump Intensity
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4.
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Fung, Joseph K. W.
Hong Kong Baptist University Webb, Robert I.
McIntire School of Commerce Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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101
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5.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Wang, George H. K.
George Mason University - Finance Area Yang, Li
University of New South Wales (UNSW) - School of Banking and Finance
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77
(160,046)
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Weather, Inventory, Volatility Jump Dynamics, Natural Gas Futures, Spot Markets
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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76
(161,312)
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1
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Correlated jump, autoregressive jump intensity
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7.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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73
(165,228)
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Optimal Hedge Ratio, Common Jumps, Multivariate GARCH Model, Autoregressive Jump Intensity
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8.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Rich, Daniel P.
Illinois State University - Department of Economics
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24
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9.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Young, Denise
University of Alberta - Department of Economics
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regime switching, Poisson jump, GARCH volatility, copper futures
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10.
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Kalimipalli, Madhu
Wilfrid Laurier University - School of Business & Economics Chan, Wing H.
Wilfrid Laurier University - Department of Economics Jha, Ranjini
University of Waterloo - School of Accounting and Finance
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realized volatility, implied volatility, combination forecasts, volatility timing, option strategies
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11.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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optimal hedging, Poisson jump, bivariate GARCH, foreign exchange
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12.
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Boxall, Peter
University of Alberta Chan, Wing H.
Wilfrid Laurier University - Department of Economics McMillan, Melville
University of Alberta
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Sour gas, Hedonic prices, Property value impacts
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13.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Young, Denise
University of Alberta - Department of Economics
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Bivariate GARCH, Autoregressive Jump Intensity, Optimal Hedge Ratio, Copper Prices
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14.
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McMillan, Melville
University of Alberta Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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Universities, efficiency, DEA, stochastic frontier
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15.
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Chan, Wing H.
Wilfrid Laurier University - Department of Economics Maheu, John M.
McMaster University - Michael G. DeGroote School of Business
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Garch, autoregressive jump intensity
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16.
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Buse, Adolf
affiliation not provided to SSRN Chan, Wing H.
Wilfrid Laurier University - Department of Economics
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AIDS model, price indices, invariance, conditional estimation, Monte Carlo
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