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• Tak Kuen Siu

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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 14 (2007)
Issue (Month): 3 (September)
Pages: 255-275
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:14:y:2007:i:3:p:255-275

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Related research

Keywords: APGARCH model; Conditional Esscher transforms; Conditional heteroscedasticity; Default option; Leverage effect; Memoryness; Participating life insurance policies;

References listed on IDEAS
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1. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June. [Downloadable!] (restricted)
2. Francis Dieobold, 1986. "Modeling The persistence Of Conditional Variances: A Comment," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 51-56. [Downloadable!] (restricted)
3. Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18. [Downloadable!] (restricted)
4. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. [Downloadable!] (restricted)
5. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. [Downloadable!] (restricted)
   Other versions:
   • Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
6. Sébastien Laurent, 2004. "Analytical Derivates of the APARCH Model," Computational Economics, Springer, vol. 24(1), pages 51-57, 08. [Downloadable!]
7. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Higgins, Matthew L & Bera, Anil K, 1992. "A Class of Nonlinear ARCH Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-58, February. [Downloadable!] (restricted)
   Other versions:
   • Matthew L. Higgins & Anil K. Bera, 1990. "A Class of Nonlinear Arch Models," University of California at San Diego, Economics Working Paper Series 90-40, Department of Economics, UC San Diego.
9. Anna Rita Bacinello, 2003. "Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 461-487. [Downloadable!] (restricted)
10. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December. [Downloadable!] (restricted)
11. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December. [Downloadable!] (restricted)
12. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
    Other versions:
    • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
13. Zhuanxin Ding & Clive W. J. Granger, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ADRES, issue 40, pages 06, Octobre-D. [Downloadable!]
    Other versions:
    • C. W.J. Granger & Zhuanxin Ding, 1993. "Some Properties of Absolute Return: An Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 93-38, Department of Economics, UC San Diego. [Downloadable!]
14. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
    Other versions:
    • Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
15. He, Changli & Teräsvirta, Timo, 1999. "Higher-order dependence in the general Power ARCH process and a special case," Working Paper Series in Economics and Finance 315, Stockholm School of Economics. [Downloadable!]

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