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Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model

  • Kiyotaka Satoyoshi

    ()

  • Hidetoshi Mitsui

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-010-9120-6
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 1 (March)
    Pages: 55-68

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:1:p:55-68
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. BAUWENs, Luc & LUBRANO , Michel, 1996. "Bayesian Inference on GARCH Models using the Gibbs Sampler," CORE Discussion Papers 1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De.
    5. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(4), pages 493-530.
    6. Robert J. Elliott & Tak Kuen Siu & Leunglung Chan, 2006. "Option Pricing For Garch Models With Markov Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 825-841.
    7. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
    8. Toshiaki Watanabe & Masato Ubukata, 2009. "Option Pricing Using Realized Volatility and ARCH Type Models," Global COE Hi-Stat Discussion Paper Series gd09-066, Institute of Economic Research, Hitotsubashi University.
    9. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August.
    10. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
    11. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    12. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
    13. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
    14. Michael Sabbatini & Oliver Linton, 2004. "A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices," FMG Discussion Papers dp516, Financial Markets Group.
    15. Hansen, Bruce E, 1996. "Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 195-98, March-Apr.
    16. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    17. Marc Saez, 1997. "Option pricing under stochastic volatility and stochastic interest rate in the Spanish case," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 379-394.
    18. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
    19. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
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