Results 121 to 130 of about 11,262 (157)
Option pricing for GARCH-type models with generalized hyperbolic innovations [PDF]
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books.
Christophe Chorro +2 more
core
"Modelling and Forecasting Daily International Mass Tourism to Peru" [PDF]
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO's World Heritage List.
Jose Angelo Divino, Michael McAleer
core
EGARCHモデルについてThis paper considers the EGARCH(exponential GARCH)model, which is one of the conditional heteroscedastic models. The EGARCH model allows for asymmetric effects between positive and negative asset returns. First, with the daily return data of TOPIX used, the paper estimates parameters of EGARCH models and comparing them with other GARCH models by AIC ...
openaire
Asymmetric GARCH and the financial crisis: a preliminary study [PDF]
The paper deals with estimation of both general GARCH as well as asymmetric EGARCH and TGARCH models, used to model the leverage effect of good news and bad news on market volatility.
Baumöhl, Eduard, Výrost, Tomáš
core +1 more source
Modeling the volatility of FTSE All Share Index Returns [PDF]
We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been ...
Bayraci, Selcuk
core +1 more source
The Volatility of Thai Rice Price [PDF]
This study was conducted to explore the varying volatility of world rice price for the period 1961 to 2008 using monthly data. The paper provides estimates of two GARCH models, namely, GARCH and EGARCH which were used to capture the stochastic variation ...
Baharom, A.H. +3 more
core +1 more source
Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model [PDF]
n this paper we derive the bias approximations of the Maximum Likelihood (ML) and Quasi-Maximum Likelihood (QML) Estimators of the EGARCH(1,1) parameters and we check our theoretical results through simulations.
Antonis Demos, Dimitra Kyriakopoulou
core
Moments of the ARMA–EGARCH model [PDF]
The Econometrics Journal, 2003 Summary: This paper considers the moment structure of the general ARMA-EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed ...
Menelaos Karanasos, J. Kim
openaire +2 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Communications in Statistics - Simulation and Computation, 2020
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
openaire +1 more source
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
openaire +1 more source