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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren; Borovkova, Svetlana; … - In: European journal of operational research : EJOR 298 (2022) 2, pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
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Estimating Volatility of German Dax From Econometric and Econophysics Perspectives
Pulickal, Jose Paul - 2020
Econophysics methods is also helpful for the same. Understanding a better model of the forecast is what investors are looking …
Persistent link: https://www.econbiz.de/10012829626
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Power law in tails of bourse volatility : evidence from India
Ghosh, Bikramaditya; Krishna, M. C. - In: Investment management and financial innovations 16 (2019) 1, pp. 291-298
Persistent link: https://www.econbiz.de/10012056170
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Gravity modeling in social science : the case of the commuting phenomenon in Greece
Tsiotas, Dimitrios; Aspridēs, Geōrgios M.; … - In: Evolutionary and institutional economics review 16 (2019) 1, pp. 139-158
Persistent link: https://www.econbiz.de/10012034588
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Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
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Adaptive stochastic risk estimation of firm operating profit
Akca, Ahmet; Çanakoğlu, Ethem - In: Journal of industrial and business economics 48 (2021) 3, pp. 463-504
Persistent link: https://www.econbiz.de/10012621417
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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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An empirical investigation of US fiscal expenditures and macroeconomic outcomes
Aksoy, Yunus; Melina, Giovanni - 2011
Persistent link: https://www.econbiz.de/10009305805
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289