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Marcel Scharth

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Personal Details

First Name:Marcel
Middle Name:
Last Name:Scharth
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RePEc Short-ID:psc385
Email:
Homepage:http://research.economics.unsw.edu.au/mscharth/
Postal Address:Department of Economics UNSW Business School University of New South Wales
Phone:+61 2 9385 7019
Location: Sydney, Australia
Homepage: http://www.business.unsw.edu.au/
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Handle: RePEc:edi:fcnswau (more details at EDIRC)
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  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).

    RePEc:dgr:uvatin:20130092 is not listed on IDEAS
    RePEc:dgr:uvatin:20110132 is not listed on IDEAS
    RePEc:dgr:uvatin:20110057 is not listed on IDEAS
    RePEc:dgr:uvatin:20120020 is not listed on IDEAS
  1. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 80-109, June.
  2. 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.
  3. Siem Jan Koopman & Marcel Scharth, 2012. "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures," Journal of Financial Econometrics, Society for Financial Econometrics, 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.
13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2009-12-19 2010-07-03 2010-09-18
  2. NEP-BEC: Business Economics (4) 2009-12-19 2010-07-03 2010-09-18 2011-01-03. Author is listed
  3. NEP-CFN: Corporate Finance (2) 2007-08-27 2014-08-20
  4. NEP-CMP: Computational Economics (1) 2011-04-02
  5. NEP-ECM: Econometrics (5) 2009-12-19 2010-07-03 2011-04-02 2011-10-01 2012-03-14. Author is listed
  6. NEP-ETS: Econometric Time Series (6) 2007-01-13 2010-07-03 2010-09-18 2011-01-03 2011-04-02 2014-08-02. Author is listed
  7. NEP-FMK: Financial Markets (5) 2007-01-13 2009-12-19 2010-09-18 2013-12-29 2014-01-17. Author is listed
  8. NEP-FOR: Forecasting (10) 2007-01-13 2007-08-27 2010-07-03 2010-09-18 2011-01-03 2011-10-01 2012-03-14 2013-12-29 2014-08-02 2014-08-16. Author is listed
  9. NEP-MAC: Macroeconomics (1) 2007-08-27
  10. 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
  11. NEP-ORE: Operations Research (6) 2011-04-02 2011-10-01 2012-03-14 2014-08-02 2014-08-16 2014-08-20. Author is listed
  12. 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
  13. NEP-UPT: Utility Models & Prospect Theory (2) 2009-12-19 2010-07-03

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