Results 11 to 20 of about 6,779 (297)
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
Open Journal of Applied Sciences, 2014 Stochastic volatility models are used in mathematical finance to describe the dynamics of asset prices. In these models, the asset price is modeled as a stochastic process depending on time implicitly defined by a stochastic differential Equation.
Lorella Fatone +3 more
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Volatility and Growth: the Role of Bank Financing in Bolivia
Montenegrin Journal of Economics, 2022 Roger Alejandro Banegas Rivero
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Stochastic volatility models for ordinal-valued time series with application to finance [PDF]
Statistical Modelling, 2009 In this paper, we introduce a new class of models, called ordinal-response stochastic volatility models, by combining an ordinal-response model and the idea of stochastic volatility. Corresponding time series occur in high-frequency finance when the stocks are traded on a coarse grid.
Gernot J. Müller, Claudia Czado
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Finance-Growth Volatility Nexus: Evidence from Lebanon [PDF]
Asian Economic and Financial Review, 2018 A generalized autoregressive conditional heteroskedasticity (GARCH) model incorporating shocks of financial deepening and growth variables in the variance equation of the other variable respectably is used to investigate whether there is a significant bi-directional spillover of shocks between the two variables in Lebanon.
Salah Abosedra, Ben Sita Bernard
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Methods in econophysics: Estimating the probability density and volatility
Frontiers in Physics, 2022 We discuss and analyze some recent literature that introduced pioneering methods in econophysics. In doing so, we review recent methods of estimating the volatility, volatility of volatility, and probability densities.
Moawia Alghalith
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The Use of Machine Learning in Volatility: A Review Using K-Means
Universidad y Empresa, 2023 Recently, the use of machine learning (ML) in scientific disciplines has experienced an unprecedented increase. Finance has not been an exception. Several works have been published in recent years using ml techniques. However, one of the topics with the
Jesus Enrique Molina Muñoz +1 more
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Does green finance support to reduce the investment sensitivity of environmental firms?
Journal of Business Economics and Management, 2023 This study aims to examine the financing cash flow sensitivity into the firm investment of Environment Sensitive Firms (ESFs). To improve the robustness of our analysis, we implement cluster regression to analyze the 300- firms listed on Shenzhen Stock ...
Ashfaq Habib +2 more
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The impact of trade and financial expansion on volatility of real exchange rate.
PLoS ONE, 2022 With the steady progress of China's opening-up policy, how to avoid the financial risks brought by opening-up is a valuable research topic at present while promoting economic development.
Zhe Chen
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Multivariate volatility in environmental finance [PDF]
Mathematics and Computers in Simulation, 2008 There exist several important benchmark indexes in environmental finance, some computed by well-known financial index providers such as the Dow Jones group and others by independent agencies specializing in environmentally and socially responsible investing in finance.
Michael McAleer +2 more
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Liquidity effects on oil volatility forecasting: From fintech perspective.
PLoS ONE, 2021 Fin-tech is an emerging field, inspiring revolutionary innovations in the financial field. It may initiate the evolutionary episode of the financial research, where volatility forecasting is a crucial topic in finance.
Shusheng Ding +3 more
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