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wwwelseviercomlocateeconbase pacific-basin finance journal 12 2004 117–142 empirical comparison of alternative stochastic volatility option pricing models: evidence from…
shouwei liu school of economics, singapore management university yiu-kuen tse school of economics, singapore management university february 2012 abstract: we apply the acd-icv
volatility forecast comparison using imperfect volatility proxies andrew j patton� university of oxford this version: 11 december 2008 the use of a conditionally unbiased…
robust_forecast_eval_444.dviandrew j. patton∗ abstract the use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable outcomes in standard
empirical deviation perspective ∗innovation and information management, hku business school †department of statistics, university of michigan abstract volatility
microsoft word - master thesis isak ahlbom.docswedish stock market august 2005 master thesis we decompose total stock market volatility into market-, industry- and firm-specific
empirical evidence on volatility estimators joão duque associate professor universidade técnica de lisboa instituto superior de economia e gestão rua miguel lupi 20 1200…
u.u.d.m. project report 2011:12 examensarbete i matematik, 30 hp handledare och examinator: johan tysk juni 2011 department of mathematics uppsala university a comparison…
8/3/2019 an empirical comparison 1/248/3/2019 an empirical comparison 2/24the initial tests revealed that the bar gera executable and the chen et al. path-based method described…
components of volatility and their empirical measures dipankor coondoo economic research unit, indian statistical institute, kolkata paramita mukherjee monetary research…
factors affecting stock market index volatility: empirical studyjournal of governance and regulation / volume 10, issue 3, 2021 169 ** ** corresponding author, finance and
research article an empirical analysis of the price volatility characteristics of china’s soybean futures market based on arima-gjr- garch model yang xu ,1 zhihao xia
comparison of implied volatility approximations using 'nearest-to-the-money' option premiumsfollow this and additional works at: https://tigerprints.clemson.edu/all_theses
wavelet-based forecasting: an empirical comparison of different methods stephan schlüter1 and carola deuschle2 1quantitative modelling & analysis / wingas trading 2university…
doi:10.1016/j.jedc.2007.01.0250165-1889/$ - doi:10.1016/j szabolcs mike, j. doyne farmer santa fe institute, 1399 hyde park road, santa fe, nm 87501, usa received 1 may 2005;
an empirical evaluation *epge / fundação getúlio vargas, rio de janeiro ** école de commerce solvay / ulb, bruxelles (october, 1999) we compare
a comparison of empirical models for predicting student retention matt bogard · tuesdi helbig · gina huff ·chris james abstract literature indicates that data mining…
thesis presented in partial fulfillment of the requirements for the business administration degree with honors research distinction in the fisher college of business at the
estimation of monthly volatility: an empirical comparison of realized volatility, garch and acd-icv methods shouwei liu school of economics, singapore management university…
excess volatility of corporate bonds jack bao and jun pan∗ this draft: february 28, 2008 abstract this paper examines the connection among corporate bonds, stocks, and…