Model-based quantification of the volatility of options at transaction level with extended count regression models

@inproceedings{Czado2007ModelbasedQO,
  title={Model-based quantification of the volatility of options at transaction level with extended count regression models},
  author={Claudia Czado and Andreas Kolbe},
  year={2007}
}
In this paper we elaborate how Poisson regression models of different complexity can be used in order to model absolute transaction price changes of an exchange-traded security. When combined with an adequate autoregressive conditional duration model, our modelling approach can be used to construct a complete modelling framework for a security’s absolute returns at transaction level and thus for a model-based quantification of intraday volatility and risk. We apply our approach to absolute… CONTINUE READING
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