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Modelling and Forecasting Unbiased Extreme Value Volatility Estimator: A Study Based on EUR/USD Exchange Rate
(Articles)
Dilip Kumar
Theoretical Economics Letters
Vol.8 No.9
,June 13, 2018
DOI:
10.4236/tel.2018.89102
788
Downloads
1,712
Views
Citations
This article belongs to the Special Issue on
Financial Modeling
Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models
(Articles)
Matilda B. Bosire
,
Samuel Chege Maina
Journal of Financial Risk Management
Vol.10 No.3
,September 30, 2021
DOI:
10.4236/jfrm.2021.103021
330
Downloads
1,741
Views
Citations
Forecasting Crude Oil Price Volatility by Heston Model
(Articles)
Patrick Kandege Mwanakatwe
,
Joanitha Daniel
,
Kulwa Roberth Nzungu
Journal of Mathematical Finance
Vol.13 No.3
,August 29, 2023
DOI:
10.4236/jmf.2023.133026
136
Downloads
699
Views
Citations
Ant Colony Optimization Based on Adaptive Volatility Rate of Pheromone Trail
(Articles)
Zhaoquan CAI
,
Han HUANG
,
Yong QIN
,
Xianheng MA
Int'l J. of Communications, Network and System Sciences
Vol.2 No.8
,November 17, 2009
DOI:
10.4236/ijcns.2009.28092
5,206
Downloads
9,631
Views
Citations
Revisiting Characteristics of Ionic Liquids: A Review for Further Application Development
(Articles)
Rusen Feng
,
Dongbin Zhao
,
Yongjun Guo
Journal of Environmental Protection
Vol.1 No.2
,June 29, 2010
DOI:
10.4236/jep.2010.12012
9,862
Downloads
22,530
Views
Citations
Pricing European Call Currency Option Based on Fuzzy Estimators
(Articles)
Xing Yu
,
Hongguo Sun
,
Guohua Chen
Applied Mathematics
Vol.2 No.4
,March 31, 2011
DOI:
10.4236/am.2011.24058
5,265
Downloads
9,033
Views
Citations
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets
(Articles)
Muge Kaltalioglu
,
Ugur Soytas
Modern Economy
Vol.2 No.2
,May 17, 2011
DOI:
10.4236/me.2011.22011
5,652
Downloads
11,730
Views
Citations
The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data
(Articles)
Heather Mitchell
,
Michael McKenzie
Journal of Mathematical Finance
Vol.1 No.1
,June 1, 2011
DOI:
10.4236/jmf.2011.11001
5,930
Downloads
12,154
Views
Citations
Stochastic Volatility Jump-Diffusion Model for Option Pricing
(Articles)
Nonthiya Makate
,
Pairote Sattayatham
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13012
5,306
Downloads
12,107
Views
Citations
On the Consistency of a Firm’s Value with a Lognormal Diffusion Process
(Articles)
Andrew M. K. Cheung
,
Van Son Lai
Journal of Mathematical Finance
Vol.2 No.1
,February 28, 2012
DOI:
10.4236/jmf.2012.21003
4,822
Downloads
8,449
Views
Citations
VIX and VIX Futures Pricing Algorithms: Cultivating Understanding
(Articles)
Hancock G. D’Anne
Modern Economy
Vol.3 No.3
,May 22, 2012
DOI:
10.4236/me.2012.33038
11,855
Downloads
19,204
Views
Citations
Option Pricing Applications of Quadratic Volatility Models
(Articles)
Srimantoorao. S. Appadoo
,
Aerambamoorthy Thavaneswaran
,
Saman Muthukumarana
Journal of Mathematical Finance
Vol.2 No.2
,May 23, 2012
DOI:
10.4236/jmf.2012.22017
4,604
Downloads
9,156
Views
Citations
Stock Return Conjunction in Markets with Deteriorated Sentiment: Evidence from the Japanese Electric Appliances Industry
(Articles)
Chikashi Tsuji
Modern Economy
Vol.3 No.4
,July 24, 2012
DOI:
10.4236/me.2012.34060
3,996
Downloads
6,347
Views
Citations
Volatility Analysis of Web News and Public Attitude by GARCH Model
(Articles)
Pinrui Yu
,
Tianzhen Liu
,
Qian Ding
Psychology
Vol.3 No.8
,August 23, 2012
DOI:
10.4236/psych.2012.38092
4,085
Downloads
6,633
Views
Citations
Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications
(Articles)
Oleksandr Zhylyevskyy
Theoretical Economics Letters
Vol.2 No.4
,November 1, 2012
DOI:
10.4236/tel.2012.24074
4,458
Downloads
7,282
Views
Citations
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Mathematical Finance
Vol.3 No.1
,February 26, 2013
DOI:
10.4236/jmf.2013.31002
6,561
Downloads
12,307
Views
Citations
Cross-Market Valuation with Full Information on the Company’s Capital Structure
(Articles)
Pascal Heider
,
Peter N. Posch
Journal of Mathematical Finance
Vol.3 No.3A
,October 30, 2013
DOI:
10.4236/jmf.2013.33A007
4,556
Downloads
6,740
Views
Citations
This article belongs to the Special Issue on
Corporate Finance
A Study of Changes in Risk Appetite in the Stock Market and the Housing Market before and after the Global Financial Crisis in 2008 Using the vKOSPI
(Articles)
Jin Yong Yang
,
Sang-Heon Lee
Modern Economy
Vol.4 No.11
,November 4, 2013
DOI:
10.4236/me.2013.411077
4,111
Downloads
6,332
Views
Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
5,060
Downloads
7,364
Views
Citations
Index Fund Factor: The View beyond the Wall
(Articles)
Joseph Ojih
Open Journal of Social Sciences
Vol.2 No.9
,August 27, 2014
DOI:
10.4236/jss.2014.29033
5,527
Downloads
6,632
Views
Citations
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