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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
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Investment under uncertainty and volatility estimation risk
Dotsis, George; Makropoulou, Vasiliki; Markellos, … - In: Applied economics letters 19 (2012) 1/3, pp. 133-137
Persistent link: https://www.econbiz.de/10009412657
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - 1996
Persistent link: https://www.econbiz.de/10000596784
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Semi-parametric modelling of the term structure
Bianchi, Marco; Orszag, Jonathan Michael; Steeley, James M. - 1997
Persistent link: https://www.econbiz.de/10000956524
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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Element-by-element estimation of a volatility matrix : an Italian portfolio simulation
Naccarato, Alessia; Pierini, Andrea - In: Investment management and financial innovations 11 (2014) 3, pp. 34-43
Persistent link: https://www.econbiz.de/10010512185
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On the modeling of financial time series
Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015
Persistent link: https://www.econbiz.de/10011326692
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Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491
Persistent link: https://www.econbiz.de/10009730777
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Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew; Scott, David W.; Ensor, Katherine Bennett - In: Journal of mathematical finance 5 (2015) 5, pp. 457-479
Persistent link: https://www.econbiz.de/10011440276