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stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
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from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …
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In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...
Persistent link: https://www.econbiz.de/10011622006
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH …
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