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Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667

Persistent link: https://www.econbiz.de/10012016532

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock …

Persistent link: https://www.econbiz.de/10012604174

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869