Browsing DFAEII by Author "León, Angel"
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An empirical comparison of the performance of alternative option pricing models
Rubio Irigoyen, Gonzalo; Ferreira García, María Eva ; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ... -
Autorregresive conditional volatility, skewness and kurtosis
León, Angel; Rubio Irigoyen, Gonzalo; Serna, Gregorio (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ... -
Smiling under stochastic volatility
León, Angel; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ... -
The Relationship between Risk and Expected Return in Europe
León, Angel; Nave, Juan; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between ...