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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - 2011
Persistent link: https://www.econbiz.de/10009716088
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010
Persistent link: https://www.econbiz.de/10009614252
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Volatility Models : From GARCH to Multi-Horizon Cascades
Subbotin, Alexander - 2009
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...
Persistent link: https://www.econbiz.de/10013158884
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The importance of integrating quantitative research methods to understand commodity business finance
Zavadska, Miroslava; Morales, Lucía; Coughlan, Joseph - In: International journal of business & management : IJoBM 6 (2018) 1, pp. 54-77
Persistent link: https://www.econbiz.de/10011859605
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Chaos and order in the capital markets : a new view of cycles, prices, and market volatility
Peters, Edgar E. - 1991 - 1. [print.]
Persistent link: https://www.econbiz.de/10000327743
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Price, volatility and the second-order economic theory
Olkhov, Victor - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 139-165
the market trades during the interval Δ and we call it the second-order economic theory. To develop that theory, we …
Persistent link: https://www.econbiz.de/10013198275
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Forecasting in the presence of structural breaks and model uncertainty
Rapach, David E. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003731593
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A Pitman Closeness evaluation of range-based volatility estimators in shortened time horizons
Edwards, Kelsey; Chow, Alan F.; Lahtinen, Kyre Lane; … - In: Journal of business and economic perspectives 46 (2019) 1, pp. 121-134
Persistent link: https://www.econbiz.de/10012098229
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Kapitalmarktmodelle mit nicht konstanter Volatilität und ihre Anwendung unter Solvency II
Reichart, Stefanie - 2011
Persistent link: https://www.econbiz.de/10014007962
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Price, Volatility and the Second-Order Economic Theory
Olkhov, Victor - 2020
time interval Δ. We call it - the second-order economic theory. First two price statistical moments define volatility. To …
Persistent link: https://www.econbiz.de/10012823723