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Forward-Looking Beta Estimates:Evidence from an Emerging Market

Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2008

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...

Persistent link: https://www.econbiz.de/10004961496

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

Persistent link: https://www.econbiz.de/10011906446

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

Persistent link: https://www.econbiz.de/10012547429

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

Persistent link: https://www.econbiz.de/10011477452

A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility : A Probability Density Function Approach

Izmailov, Alexander - 2015

The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

Persistent link: https://www.econbiz.de/10013022328

Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities : A Probability Density Function Approach

Izmailov, Alexander - 2015

The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...

Persistent link: https://www.econbiz.de/10013029750

Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk and Option Based Hedging Strategies

Izmailov, Alexander - 2015

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

Persistent link: https://www.econbiz.de/10013032725

Asset Allocation with Liquidity-Adjusted Market Risk Modeling : Empirical Relevance to Multiple-Asset Portfolios

Al Janabi, Mazin A. M. - 2021

In this paper, the author demonstrate a practical approach for measurement, management and control of market risk exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk (L-VaR) along with the creation of a software tool...

Persistent link: https://www.econbiz.de/10013227176

Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile

Dubrana, Ludovic - 2011

An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...

Persistent link: https://www.econbiz.de/10013118115