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The Evolution of Expectations Towards Expiration
Weide, Roy van der; Peters, Remco - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345665
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Merton-style option pricing under regime switching
Driffill, John; Kenc, Turalay; Sola, Martin - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706597
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Evaluating the Predictive Abilities of Semiparametric Multivariate Models
Panchenko, Valentyn - Society for Computational Economics - SCE - 2006
dimensionality in the estimation of the latter, we propose a dimension reduction technique. The marginals are estimated using …
Persistent link: https://www.econbiz.de/10005706216
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The Econometric Analysis of Microscopic Simulation Models
Li, Youwei; Donkers, Bas - Society for Computational Economics - SCE - 2004
This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...
Persistent link: https://www.econbiz.de/10005706521
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Valuing Interest Rates Derivatives
Souza, Leonardo; Raposo, Gustavo - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345696
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Using High Frequency Data to Calculate, Model and Forecast Realized Volatility
Oomen, Roel - Society for Computational Economics - SCE - 2001
The objective of this paper is to calculate, model, and forecast realized volatility using high-frequency stock … volatility. Second, as a result of several test statistics for long memory in realized volatility, it is found that the realized … volatility series can be modelled as an ARFIMA process. The ARFIMA's forecasting performance is assessed in a simulation study …
Persistent link: https://www.econbiz.de/10005706766
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Volatility of a Market Index and its Components: An Application to Commodity Markets
WATKINS, Clinton; McALEER, Michael - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345409
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Are There Multiple Regimes in Financial Volatility?
Medeiros, Marcelo C.; Veiga, Alvaro - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537659
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Pricing problems of perpetual Bermudan options
Muroi, Yoshifumi; Yamada, Takashi - Society for Computational Economics - SCE - 2006
The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...
Persistent link: https://www.econbiz.de/10005342951
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Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
Schleicher, Christoph; Hurd, Matthew; Salmon, Mark - Society for Computational Economics - SCE - 2005
We model the joint distribution between the euro-sterling and the dollar-sterling exchange rate using option-implied markginal distributions that are connected via a copula function. We then derive univariate distributions for the simpliefied sterling effective exchange rate index (ERI). Our...
Persistent link: https://www.econbiz.de/10005343054