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, Australiahttp://sydney.edu.au/business/business_analytics
RePEc:edi:dxusyau (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- 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.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CIRJE F-Series
CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CARF F-Series CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- 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).
- 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.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- 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).
- 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.
Articles
- 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.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- 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).
- David E. Allen & Michael McAleer & Marcel Scharth, 2014.
"Asymmetric Realized Volatility Risk,"
JRFM, MDPI, vol. 7(2), pages 1-30, June.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
- 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.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
- 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.
- Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
- 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.
- 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.
- 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).
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.- 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
- 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
- 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
- NEP-ETS: Econometric Time Series (5) 2007-01-13 2010-07-03 2010-09-18 2011-01-03 2014-08-02. Author is listed
- NEP-FMK: Financial Markets (5) 2007-01-13 2009-12-19 2010-09-18 2013-12-29 2014-01-17. Author is listed
- NEP-BEC: Business Economics (4) 2009-12-19 2010-07-03 2010-09-18 2011-01-03
- NEP-BAN: Banking (3) 2009-12-19 2010-07-03 2010-09-18
- NEP-ORE: Operations Research (3) 2014-08-02 2014-08-16 2014-08-20
- NEP-CFN: Corporate Finance (2) 2007-08-27 2014-08-20
- NEP-ECM: Econometrics (2) 2009-12-19 2010-07-03
- NEP-UPT: Utility Models and Prospect Theory (2) 2009-12-19 2010-07-03
- NEP-MAC: Macroeconomics (1) 2007-08-27
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