User profiles for C. Ornthanalai
Chayawat OrnthanalaiRotman School of Management, University of Toronto Verified email at rotman.utoronto.ca Cited by 1571 |
Option valuation with long-run and short-run volatility components
P Christoffersen, K Jacobs, C Ornthanalai… - Journal of Financial …, 2008 - Elsevier
This paper presents a new model for the valuation of European options, in which the volatility
of returns consists of two components. One is a long-run component and can be modeled …
of returns consists of two components. One is a long-run component and can be modeled …
Are analysts' recommendations informative? Intraday evidence on the impact of time stamp delays
… In Panel C of Table III, we report results for management guidance. Like earnings
announcements, we are able to match a majority of management guidance announcements reported …
announcements, we are able to match a majority of management guidance announcements reported …
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
P Christoffersen, K Jacobs, C Ornthanalai - Journal of Financial Economics, 2012 - Elsevier
… Table 1 shows that the parameter c y is not significant in the DVSDJ model, while for the
DVDJ model, c y is restricted to equal c z , which is positive and significant. The parameter c y …
DVDJ model, c y is restricted to equal c z , which is positive and significant. The parameter c y …
Levy jump risk: Evidence from options and returns
C Ornthanalai - Journal of Financial Economics, 2014 - Elsevier
… The above equation shows that when a z c z + ξ y ″ ( 0 ) a y c y > 0 , return today is negatively
correlated with tomorrow's variance. The model is able to capture the leverage effect by …
correlated with tomorrow's variance. The model is able to capture the leverage effect by …
Particle momentum effects from the detonation of heterogeneous explosives
DL Frost, C Ornthanalai, Z Zarei, V Tanguay… - Journal of applied …, 2007 - pubs.aip.org
Detonation of a spherical high explosive charge containing solid particles generates a high-speed
two-phase flow comprised of a decaying spherical air blast wave together with a …
two-phase flow comprised of a decaying spherical air blast wave together with a …
GARCH option valuation: theory and evidence
P Christoffersen, K Jacobs, C Ornthanalai - 2012 - pure.au.dk
We survey the theory and empirical evidence on GARCH option valuation models. Our
treatment includes the range of functional forms available for the volatility dynamic, multifactor …
treatment includes the range of functional forms available for the volatility dynamic, multifactor …
Do credit default swaps mitigate the impact of credit rating downgrades?
We find that a firm’s stock price reaction to its credit rating downgrade announcement is muted
by 44–52% when credit default swaps (CDSs) trade on its debt. We explore the role of the …
by 44–52% when credit default swaps (CDSs) trade on its debt. We explore the role of the …
Fluctuating attention and financial contagion
M Hasler, C Ornthanalai - Journal of Monetary Economics, 2018 - Elsevier
… C , h E t ( ∫ t ∞ e − Δ ( s − t ) C s 1 − α 1 − α d s ) st d V t = ( r t V t + h t diag ( P t ) ( μ t − r t 1 2
× 1 ) − C t ) d t + h t diag ( P t ) D t d W t , where C … the estimation are provided in Appendix C. …
× 1 ) − C t ) d t + h t diag ( P t ) D t d W t , where C … the estimation are provided in Appendix C. …
The term structure of expected recovery rates
… To save space, we provide their solutions in Appendix C. … Panel A of Table A1 in Appendix
C shows the parameters that are identified using the LIBOR swap rates. Overall, the first-stage …
C shows the parameters that are identified using the LIBOR swap rates. Overall, the first-stage …
[PDF][PDF] Navigating Wall Street: Career concerns and analyst transitions from sell-side to buy side
… Comparing mean statistics in Panels B and C, we do not find that analysts moving to buy-side
firms are significantly different from a typical analyst in IBES in terms of accuracy, boldness…
firms are significantly different from a typical analyst in IBES in terms of accuracy, boldness…