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Estimating Changing Volatility in Cash Flow Simulation Based Real Option Valuation with Regression Sum of Squares Error Method

Haahtela, Tero J. - 2011

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … provide all the information required for estimating how the standard deviation and volatility of the stochastic process change …

Persistent link: https://www.econbiz.de/10013123815

Investment under uncertainty and volatility estimation risk

Dotsis, George; Makropoulou, Vasiliki; Markellos, … - In: Applied economics letters 19 (2012) 1/3, pp. 133-137

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Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code

Daníelsson, Jón (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 1, pp. 39-34

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Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results

Andreou, Elena; Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 363-376

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Finite sample properties of the ARCH class of models with stochastic volatility

Deb, Partha - In: Economics letters 55 (1997) 1, pp. 27-34

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Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - 1996

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Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

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Robust inference in single firm/single event analyses

Elsas, Ralf; Schoch, Daniela - In: The journal of corporate finance : contracting, … 80 (2023), pp. 1-26

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The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - In: Finance research letters 71 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015197067