Overview
Victor K. Ng is a financial economist at the University of Michigan (School of Business Administration). His research spans stochastic volatility option pricing, factor GARCH models, and asset pricing. He co-authored the equilibrium SV option pricing model (with Amin), the multi-dynamic factor model (with Engle and Rothschild), and the GDC MGARCH model (with Kroner).
Key Contributions / Features
- Amin and Ng (1993) — "Option Valuation with Systematic Stochastic Volatility": preference-free expected Black-Scholes formula under predictable systematic variance; Journal of Finance 48(3): 881–910.
- Engle, Ng, and Rothschild (1992) — "A Multi-Dynamic Factor Model for Stock Returns": multi-factor ARCH covariance structure; Journal of Econometrics 52(1–2): 245–266.
- Kroner and Ng (1998) — "Modeling Asymmetric Comovements of Asset Returns": GDC MGARCH nesting DCC/CCC/DVEC/BEKK with leverage; Review of Financial Studies 11: 817–844.
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