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1

GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter, Jacobs, Kris, Ornthanalai, Chayawat

Journal:

The Journal of Derivatives

Year:

2013

Language:

english

File:

PDF, 1.55 MB

english, 2013

2

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Christoffersen, Peter, Feunou, Bruno, Jeon, Yoontae, Ornthanalai, Chayawat

Journal:

Review of Finance

Year:

2020

File:

PDF, 1.47 MB

2020

3

Option valuation with long-run and short-run volatility components

Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, Yintian Wang

Journal:

Journal of Financial Economics

Year:

2008

Language:

english

File:

PDF, 763 KB

english, 2008

4

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai

Journal:

Journal of Financial Economics

Year:

2012

Language:

english

File:

PDF, 1.82 MB

english, 2012

5

Lévy jump risk: Evidence from options and returns

Ornthanalai, Chayawat

Journal:

Journal of Financial Economics

Year:

2014

Language:

english

File:

PDF, 1.53 MB

english, 2014

6

Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

BRADLEY, DANIEL, CLARKE, JONATHAN, LEE, SUZANNE, ORNTHANALAI, CHAYAWAT

Journal:

The Journal of Finance

Year:

2014

Language:

english

File:

PDF, 476 KB

english, 2014

7

Prediction and prevention of pre-eclampsia in Asian subpopulation

Wataganara, Tuangsit, Leetheeragul, Jarunee, Pongprasobchai, Suchittra, Sutantawibul, Anuwat, Phatihattakorn, Chayawat, Angsuwathana, Surasak

Journal:

Journal of Obstetrics and Gynaecology Research

Year:

2018

Language:

english

File:

PDF, 274 KB

english, 2018

8

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Christoffersen, Peter, Feunou, Bruno, Jeon, Yoontae, Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.60 MB

english, 2017

9

Trading Cost Dynamics of Market Making in Equity Options

Goyenko, Ruslan, Ornthanalai, Chayawat, Tang, Shengzhe

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1018 KB

english, 2014

10

Carbon sequestration potential of rubber-tree plantation in Thailand

Satakhun, D, Chayawat, C, Sathornkich, J, Phattaralerphong, J, Chantuma, P, Thaler, P, Gay, F, Nouvellon, Y, Kasemsap, P.

Journal:

IOP Conference Series Materials Science and Engineering

Year:

2019

Language:

english

File:

PDF, 306 KB

english, 2019

11

Y. Luo, X. Zhou, ,Soil Respiration and the Environment (2006) Academic Press, An Imprint of Elsevier Science,London 0-12-088782-7.

Natchaya Pingintha, Chompunut Chayawat, Jinkyu Hong, Monique Y. Leclerc

Journal:

Agricultural and Forest Meteorology

Year:

2007

Language:

english

File:

PDF, 77 KB

english, 2007

12

Rice solid fermentation of monacolins and pigments by Monascus kaoliang KB9 and its color mutants

Chayawat, Jirawun, Jareonkitmongkol, Saeree, Songsasen, Apisit, Isariyodom, Supaporn, Yongsmith, Busaba

Journal:

Journal of Biotechnology

Year:

2008

Language:

english

File:

PDF, 53 KB

english, 2008

13

Relation between gestational weight gain and pregnancy outcomes

Sunsaneevithayakul, Prasert, Titapant, Vitaya, Ruangvutilert, Pornpimol, Sutantawibul, Anuwat, Phatihattakorn, Chayawat, Wataganara, Tuangsit, Talungchit, Pattarawalai

Journal:

Journal of Obstetrics and Gynaecology Research

Year:

2014

Language:

english

File:

PDF, 117 KB

english, 2014

14

A prospective study of the severity of early respiratory distress in late preterms compared to term infants

Kitsommart, Ratchada, Phatihattakorn, Chayawat, Pornladnun, Pornpat, Paes, Bosco

Journal:

Journal of Maternal-Fetal and Neonatal Medicine

Year:

2014

Language:

english

File:

PDF, 217 KB

english, 2014

15

Developing iCare v.1.0

WYATT, TAMI H., LI, XUEPING, INDRANOI, CHAYAWAT, BELL, MATTHEW

Journal:

CIN Computers Informatics Nursing

Year:

2012

Language:

english

File:

PDF, 778 KB

english, 2012

16

1067

Umberger, Reba, Indranoi, Chayawat, Simpson, Melanie, Jensen, Rosanne, Shamiyeh, James

Journal:

Critical Care Medicine

Year:

2013

Language:

english

File:

PDF, 1.50 MB

english, 2013

17

Correlation Between Third Trimester Glycemic Variability in Non-Insulin-Dependent Gestational Diabetes Mellitus and Adverse Pregnancy and Fetal Outcomes

Panyakat, Wanwadee Sapmee, Phatihattakorn, Chayawat, Sriwijitkamol, Apiradee, Sunsaneevithayakul, Prasert, Phaophan, Amprapha, Phichitkanka, Aporn

Journal:

Journal of Diabetes Science and Technology

Year:

2018

Language:

english

File:

PDF, 97 KB

english, 2018

18

Fluctuating Attention and Financial Contagion

Hasler, Michael, Ornthanalai, Chayawat

Journal:

Journal of Monetary Economics

Year:

2018

Language:

english

File:

PDF, 766 KB

english, 2018

19

Lévy Jump Risk: Evidence from Options and Returns

Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 2.06 MB

english, 2011

20

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Christoffersen, Peter, Jacobs, Kris, Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.82 MB

english, 2011

21

GARCH Option Valuation: Theory and Evidence

Christoffersen, Peter, Jacobs, Kris, Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 373 KB

english, 2012

22

Information Disclosure and Intraday Price Discovery: Evidence from Jumps

Bradley, Daniel J., Clarke, Jonathan, Lee, Suzanne S., Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 822 KB

english, 2011

23

Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?

Chava, Sudheer, Ganduri, Rohan, Ornthanalai, Chayawat

Journal:

Review of Finance

Year:

2018

Language:

english

File:

PDF, 728 KB

english, 2018

24

The Term Structure of Expected Recovery Rates

Doshi, Hitesh, Elkamhi, Redouane, Ornthanalai, Chayawat

Journal:

Journal of Financial and Quantitative Analysis

Year:

2018

Language:

english

File:

PDF, 1022 KB

english, 2018

25

The Power of Economic Network: Investor Recognition Through Supply-Chain Relationships

Cen, Ling, Danesh, Erfan, Ornthanalai, Chayawat, Zhao, Xiaofei

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 219 KB

english, 2015

26

The Market Crash Risk Implicit in Individual Equity Options

Elkamhi, Redouane, Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 893 KB

english, 2009

27

[IEEE 2018 15th International Joint Conference on Computer Science and Software Engineering (JCSSE) - Nakhonpathom, Thailand (2018.7.11-2018.7.13)] 2018 15th International Joint Conference on Computer Science and Software Engineering (JCSSE) - A Transparent Hypervisor-level Checkpoint-Restart Mechanism for a Cluster of Virtual Machines

Pechwises, Chayawat, Chanchio, Kasidit

Year:

2018

Language:

english

File:

PDF, 8 KB

english, 2018

28

Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market

Hasler, Michael, Ornthanalai, Chayawat

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 625 KB

english, 2015

29

In situ 13CO2 labelling of rubber trees reveals a seasonal shift in the contribution of the carbon sources involved in latex regeneration

Duangngam, Ornuma, Desalme, Dorine, Thaler, Philippe, Kasemsap, Poonpipope, Sathornkich, Jate, Satakhun, Duangrat, Chayawat, Chompunut, Angeli, Nicolas, Chantuma, Pisamai, Epron, Daniel, Lunn, John

Journal:

Journal of Experimental Botany

Year:

2020

Language:

english

File:

PDF, 1.32 MB

english, 2020

30

Comparative analysis of a Thai congenital-Zika-syndrome-associated virus with a Thai Zika-fever-associated virus

Jitsatja, Anusara, Ramphan, Suwipa, Promma, Ploenphit, Kuadkitkan, Atichat, Wikan, Nitwara, Uiprasertkul, Mongkol, Phatihattakorn, Chayawat, Smith, Duncan R.

Journal:

Archives of Virology

Year:

2020

File:

PDF, 2.60 MB

2020

31

Reducing chicken nugget oil content with fortified defatted rice bran in batter

Chayawat, Jinta, Rumpagaporn, Pinthip

Journal:

Food Science and Biotechnology

Year:

2020

File:

PDF, 954 KB

2020

32

Physical properties and calorific value of briquettes produced from Palmyra palm waste with molasses binder

Utchariyajit, K, Panprasert, V, Chayawat, L, Jungthanasombat, W, Janprom, P, Choatchuang, M

Journal:

IOP Conference Series Materials Science and Engineering

Year:

2019

File:

PDF, 650 KB

2019