Now showing items 1-3 of 3
Viterbi-based estimation for markov switching GARCH model
Author(s):Elliott, Robert J.; Lau, John W.; Miao, Hong; Kuen Siu, Tak
We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden ...
Impact of macroeconomic news on metal futures
Author(s):Elder, John; Miao, Hong; Ramchander, Sanjay
This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of U.S. macroeconomic news announcements on the return, volatility and trading volume of three important ...
Examination of the flow characteristics of crude oil: evidence from risk-neutral moments, An
Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, Tianyang
This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied ...