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Estimating stochastic volatility under the assumption of stochastic volatility of volatility

Alghalith, Moawia; Floros, Christos; Gillas, … - In: Risks : open access journal 8 (2020) 2/35, pp. 1-16

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

Persistent link: https://www.econbiz.de/10012204468

Estimation and econometric tests under simultaneous price and output uncertainty

Alghalith, Moawia - 2003

Persistent link: https://www.econbiz.de/10001740387

Preferences estimation without approximation

Alghalith, Moawia - In: European journal of operational research : EJOR 207 (2010) 2, pp. 1144-1146

Persistent link: https://www.econbiz.de/10008652567

A test of statistical independence under uncertainty

Alghalith, Moawia - In: International journal of computational economics and … 1 (2010) 3/4, pp. 343-345

Persistent link: https://www.econbiz.de/10008933192

Estimation with price and output uncertainty

Alghalith, Moawia - In: Journal of applied economics 8 (2005) 2, pp. 247-257

Persistent link: https://www.econbiz.de/10003310831

Joint production and price uncertainty : hypothesis tests

Alghalith, Moawia - In: Brussels economic review 49 (2006) 3, pp. 265-274

Persistent link: https://www.econbiz.de/10003726990

Testing for long memory in the fisheries prices : evidence from Cornwell

Floros, Christos; Failler, Pierre - In: International journal of economic perspectives : IJEP 1 (2007) 1, pp. 23-28

Persistent link: https://www.econbiz.de/10003983734

A new method of estimating the asset rate of return

Alghalith, Moawia; Polius, Tracy - In: Theoretical economics letters 1 (2011) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10009533134

Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method

Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262

Persistent link: https://www.econbiz.de/10011549920

Modeling CAC40 volatility using ultra-high frequency data

Degiannakis, Stavros; Floros, Christos - In: Research in international business and finance 28 (2013), pp. 68-81

Persistent link: https://www.econbiz.de/10009725156

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