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Marcel Scharth

Personal Details

First Name:Marcel
Middle Name:
Last Name:Scharth
Suffix:
RePEc Short-ID:psc385
http://www.marcelscharth.com
The University of Sydney Business School

Affiliation

Discipline of Business Analytics
Business School
University of Sydney

Sydney, Australia
http://sydney.edu.au/business/business_analytics
RePEc:edi:dxusyau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  3. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
  4. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).

Articles

  1. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014. "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
  2. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
  3. Siem Jan Koopman & Marcel Scharth, 2012. "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 76-115, December.
  4. Allen, David E. & McAleer, Michael & Scharth, Marcel, 2011. "Monte Carlo option pricing with asymmetric realized volatility dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1247-1256.
  5. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FOR: Forecasting (8) 2007-01-13 2007-08-27 2010-07-03 2010-09-18 2011-01-03 2013-12-29 2014-08-02 2014-08-16. Author is listed
  2. NEP-RMG: Risk Management (8) 2007-01-13 2007-08-27 2010-07-03 2010-09-18 2011-01-03 2014-01-17 2014-08-02 2014-08-16. Author is listed
  3. NEP-MST: Market Microstructure (7) 2009-12-19 2010-07-03 2010-09-18 2011-01-03 2014-01-17 2014-08-02 2014-08-16. Author is listed
  4. NEP-ETS: Econometric Time Series (5) 2007-01-13 2010-07-03 2010-09-18 2011-01-03 2014-08-02. Author is listed
  5. NEP-FMK: Financial Markets (5) 2007-01-13 2009-12-19 2010-09-18 2013-12-29 2014-01-17. Author is listed
  6. NEP-BEC: Business Economics (4) 2009-12-19 2010-07-03 2010-09-18 2011-01-03
  7. NEP-BAN: Banking (3) 2009-12-19 2010-07-03 2010-09-18
  8. NEP-ORE: Operations Research (3) 2014-08-02 2014-08-16 2014-08-20
  9. NEP-CFN: Corporate Finance (2) 2007-08-27 2014-08-20
  10. NEP-ECM: Econometrics (2) 2009-12-19 2010-07-03
  11. NEP-UPT: Utility Models and Prospect Theory (2) 2009-12-19 2010-07-03
  12. NEP-MAC: Macroeconomics (1) 2007-08-27

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