Results 191 to 200 of about 204,882 (322)
Multivariate stochastic volatility modeling of neural data. [PDF]
Elife, 2019 Phan TD +3 more
europepmc +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during ...
Halilibrahim Gökgöz +3 more
wiley +1 more source
Pricing Volatility Referenced Assets
Revista Brasileira de Finanças, 2006 Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility.
Alan De Genaro Dario
doaj
Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns
, 2000 Belal E. Baaquie, L. C. Kwek, M. Srikant
openalex +2 more sources
Risk management based on stochastic volatility [PDF]
, 2003 Ernst Eberlein +2 more
openalex +1 more source
Forecasting Digital Asset Return: An Application of Machine Learning Model
International Journal of Finance &Economics, EarlyView.ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti +4 more
wiley +1 more source
A Learning Model with Memory in the Financial Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT Learning is central to a financial agent's aspiration to gain persistent strategic advantage in asset value maximisation. The implicit mechanism that transforms this aspiration into an observed value gain is the speed of error corrections (demonstrating, an agent's speed of learning) whilst facing increased uncertainty.
Shikta Singh +6 more
wiley +1 more source
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]
, 2003 Elias Tzavalis, Shijun Wang
openalex +1 more source