Similar Search Results

What should the value of lambda be in the exponentially weighted moving average volatility model?

Bollen, Bernard - In: Applied economics 47 (2015) 7/9, pp. 853-860

Persistent link: https://www.econbiz.de/10010512092

Return and volatility linkages among G-7 and selected emerging markets

Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165

Persistent link: https://www.econbiz.de/10011335029

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Price generating process and volatility in Nigerian agricultural commodities market

Ojogho, Osaihiomwan; Egware, Robert Awotu - In: International journal of food and agricultural … 3 (2015) 4, pp. 55-64

Persistent link: https://www.econbiz.de/10011557936

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Measures of fiscal risk in oil-exporting countries

Caceres, Carlos; Medina, Leandro - In: Middle East development journal : a publication of the … 7 (2015) 2, pp. 160-174

Persistent link: https://www.econbiz.de/10011412585

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773

Option pricing: channels, target zones and sideways markets

Kakushadze, Zura - In: Bulletin of applied economics 7 (2020) 2, pp. 25-33

Persistent link: https://www.econbiz.de/10012813830

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Persistent link: https://www.econbiz.de/10012309311

1
2
3
4
5
6
7
8
9
10
Next
Last