Volatility Value - Articles - Scientific Research Publishing

The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2, May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,318 Downloads 6,085 Views Citations
Forecasting Value-at-Risk (VaR) in the Major Asian Economies (Articles)

Faisal Nazir Zargar, Dilip Kumar

Theoretical Economics Letters Vol.8 No.9, June 12, 2018

DOI: 10.4236/tel.2018.89100 999 Downloads 2,703 Views Citations
This article belongs to the Special Issue on Financial Modeling
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models (Articles)

Anthony Ngunyi, Simon Mundia, Cyprian Omari

Journal of Mathematical Finance Vol.9 No.4, October 17, 2019

DOI: 10.4236/jmf.2019.94030 1,922 Downloads 5,154 Views Citations
Fair Value and Its Economic Consequence on the Volatility Measures of Earnings, Stock Price and Government Debt Yield (Articles)

Lan Sun

Theoretical Economics Letters Vol.4 No.9, December 22, 2014

DOI: 10.4236/tel.2014.49114 10,210 Downloads 12,889 Views Citations
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 1,036 Downloads 2,333 Views Citations
This article belongs to the Special Issue on Financial Modeling
Fair Value and Volatility in the Cases of Assets Securitization, Derivative Hedging and Loan Loss Provisioning (Articles)

Lan Sun

Theoretical Economics Letters Vol.5 No.5, October 27, 2015

DOI: 10.4236/tel.2015.55078 7,545 Downloads 9,409 Views Citations
Value at Risk Models in Indian Markets: A Predictive Ability Evaluation Study (Articles)

Kushagra Goel, Sunny Oswal

Theoretical Economics Letters Vol.9 No.8, December 9, 2019

DOI: 10.4236/tel.2019.98177 910 Downloads 3,319 Views Citations
Research on the Volatility Value of A-Share State-Owned Shipping Stocks (Articles)

Rongrong Hu, Yiping Yu

Modern Economy Vol.13 No.6, June 29, 2022

DOI: 10.4236/me.2022.136046 238 Downloads 1,006 Views Citations
Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand (Articles)

Caston Sigauke, Andréhette Verster, Delson Chikobvu

Open Journal of Statistics Vol.2 No.4, October 31, 2012

DOI: 10.4236/ojs.2012.24054 3,255 Downloads 5,714 Views Citations
Value at Risk (VaR) Historical Approach: Could It Be More Historical and Representative of the Real Financial Risk Environment? (Articles)

Evangelos Vasileiou

Theoretical Economics Letters Vol.7 No.4, June 19, 2017

DOI: 10.4236/tel.2017.74065 2,511 Downloads 9,516 Views Citations
Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models (Articles)

Faith Wacuka Ng’ang’a, Meleah Oleche

Journal of Financial Risk Management Vol.11 No.1, March 15, 2022

DOI: 10.4236/jfrm.2022.111008 793 Downloads 6,742 Views Citations
Equity Value and Volatility (Articles)

Moon Hoe Lee

Journal of Mathematical Finance Vol.13 No.3, August 29, 2023

DOI: 10.4236/jmf.2023.133025 366 Downloads 1,328 Views Citations
Mean Reversion in Auction Markets (Articles)

Moon Hoe Lee

Journal of Mathematical Finance Vol.15 No.4, November 13, 2025

DOI: 10.4236/jmf.2025.154032 91 Downloads 520 Views Citations
Application of Multifractional Brownian Motion to Modeling Volatility and Risk in Financial Markets (Articles)

Bou Diop

Journal of Applied Mathematics and Physics Vol.13 No.11, November 17, 2025

DOI: 10.4236/jamp.2025.1311216 71 Downloads 524 Views Citations
Mean Reversion and Self-Valuation of European Common Stocks (Articles)

Moon Hoe Lee

Journal of Mathematical Finance Vol.15 No.3, July 16, 2025

DOI: 10.4236/jmf.2025.153020 135 Downloads 644 Views Citations
Volatility Forecasting and Volatility Risk Premium (Articles)

Jingfei Cheng

Journal of Applied Mathematics and Physics Vol.3 No.1, January 28, 2015

DOI: 10.4236/jamp.2015.31014 6,946 Downloads 9,355 Views Citations
Evaluating Volatility Forecasts with Ultra-High-Frequency Data—Evidence from the Australian Equity Market (Articles)

Kai Zhang, Lurion De Mello, Mehdi Sadeghi

Theoretical Economics Letters Vol.8 No.1, January 4, 2018

DOI: 10.4236/tel.2018.81001 1,450 Downloads 3,876 Views Citations
This article belongs to the Special Issue on Financial Economics
Next Level in Risk Management? Hedging and Trading Strategies of Volatility Derivatives Using VIX Futures (Articles)

Ernst J. Fahling, Elmar Steurer, Tobias Schädler, Adrian Volz

Journal of Financial Risk Management Vol.7 No.4, December 29, 2018

DOI: 10.4236/jfrm.2018.74024 1,775 Downloads 6,369 Views Citations
Characterizing the Volatility Transmission across International Stock Markets (Articles)

Amarnath Mitra, Vishwanathan Iyer, Anto Joseph

Theoretical Economics Letters Vol.5 No.4, August 24, 2015

DOI: 10.4236/tel.2015.54067 3,717 Downloads 5,769 Views Citations
Inferring Volatility from the Yield Curve (Articles)

Vincent Brousseau, Alain Durré

Journal of Mathematical Finance Vol.5 No.3, August 28, 2015

DOI: 10.4236/jmf.2015.53026 6,054 Downloads 7,599 Views Citations

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