Search Results - subject:"Volatility Model"

ARMA Representation of Two-Factor Models

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Many financial time series models are specified through a structural representation. Nonetheless, knowing their reduced ARMA form may be useful for impulse response analysis, filtering, forecasting, and for purposes of statistical inference. This ARMA representation is the analytical...

Persistent link: https://www.econbiz.de/10005100942

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

: conditional covariance matrix,multivariate GARCH,mul- tivariate volatility model,random coefficient model,volatility forecasting …

Persistent link: https://www.econbiz.de/10005649365

Asian Spread Option Pricing Models and Computation

Chen, Sijin 1979- - 2010

volatility model are developed and some numerical computation tests are conducted as well. …

Persistent link: https://www.econbiz.de/10009456489

A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

Li, Minqiang - In: Review of Derivatives Research 13 (2010) 2, pp. 177-217

Persistent link: https://www.econbiz.de/10008526469

Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix

Febrian, Erie; Herwany, Aldrin - Departemen Manajemen dan Bisnis, Fakultas Ekonomi - 2010

In measuring risk, practitioners have practiced one of the two extreme approaches for so long, i.e. historical simulation or risk metrics. Meanwhile, academicians tend to apply methods based on the latest development in financial econometrics. In this study, we try to assess one of important...

Persistent link: https://www.econbiz.de/10009642552

Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling

Febrian, Erie; Herwany, Aldrin - Departemen Manajemen dan Bisnis, Fakultas Ekonomi - 2010

. The result proves that the employed volatility model and its derivatives are fairly accurate in predicting fluctuation of … change that just won Nobel prize in 2004). In this research, we try to develop the best prediction model by using volatility … model, such as ARCH, GARCH, TARCH and EGARCH, and employing listed stocks of government-owned companies (GOCs) as the sample …

Persistent link: https://www.econbiz.de/10009642553

The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model

Wang, Ren-Her; Aston, John; Fuh, Cheng-Der - In: Computational Economics 36 (2010) 4, pp. 283-307

Persistent link: https://www.econbiz.de/10008776290

The Instantaneous Volatility and the Implied Volatility Surface for a Generalized Black–Scholes Model

Takaoka, Koichiro; Futami, Hidenori - In: Asia-Pacific Financial Markets 17 (2010) 4, pp. 391-436

Persistent link: https://www.econbiz.de/10008776785

EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL

BENHAMOU, E.; GOBET, E.; MIRI, M. - In: International Journal of Theoretical and Applied … 13 (2010) 04, pp. 603-634

Because of its very general formulation, the local volatility model does not have an analytical solution for European …

Persistent link: https://www.econbiz.de/10008465482

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425