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Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385
Persistent link: https://www.econbiz.de/10011964842
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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Stochastic flow approach to Dupire's formula
Jourdain, B. - In: Finance and stochastics 11 (2007) 4, pp. 521-535
Persistent link: https://www.econbiz.de/10003645525
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Stochastic volatility in the Spanish stock market : a long memory model with a structural break
Gil-Alaña, Luis A.; Cuñado Eizaguirre, Juncal; Perez … - In: The European journal of finance 14 (2008) 1/2, pp. 23-31
Persistent link: https://www.econbiz.de/10003744669
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Common stochastic volatility trends in international stock returns
Dao, Chi-Mai; Wolters, Jürgen - In: International review of financial analysis 17 (2008) 3, pp. 431-445
Persistent link: https://www.econbiz.de/10003764415
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10003352847
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Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim; Litvinova, Julia; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
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Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex
Rathgeber, Andreas - In: Kredit und Kapital 40 (2007) 3, pp. 451-484
Persistent link: https://www.econbiz.de/10003564452
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General asymmetric stochastic volatility models using range data : estimation and empirical evidence from emerging equity markets
Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 20 (2010) 13/15, pp. 1041-1049
Persistent link: https://www.econbiz.de/10009010308
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Volatility forecasting in emerging markets with application of stochastic volatility model
Huang, Alex - In: Applied financial economics 21 (2011) 7/9, pp. 665-681
Persistent link: https://www.econbiz.de/10009153213