Volatility Model - Articles - Scientific Research Publishing

Some Stylized Facts of Short-Term Stock Prices of Selected Nigerian Banks (Articles)

Maruf Ariyo Raheem, Patrick Oseloka Ezepue

Open Journal of Statistics Vol.8 No.1, February 6, 2018

DOI: 10.4236/ojs.2018.81008 1,131 Downloads 3,075 Views Citations
Unravelling the Cipher of Indian Rupee’s Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models (Articles)

Shalini Talwar, Aparna Bhat

Theoretical Economics Letters Vol.8 No.6, April 23, 2018

DOI: 10.4236/tel.2018.86079 832 Downloads 2,145 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model (Articles)

Chidi U. Okonkwo, Bright O. Osu, Silas A. Ihedioha, Chigozie Chibuisi

Journal of Mathematical Finance Vol.8 No.4, September 30, 2018

DOI: 10.4236/jmf.2018.84039 1,343 Downloads 3,333 Views Citations
This article belongs to the Special Issue on Stochastic Methods and Finance
Systematic Stock Market Characterisation and Development: Perspectives from Random Matrix Theory, Option Pricing, Genetics, and Global Economics (Articles)

Patrick Oseloka Ezepue, Thomas Chinwe Urama, Mahmoud A. Taib Omar

Journal of Mathematical Finance Vol.9 No.2, April 8, 2019

DOI: 10.4236/jmf.2019.92007 1,016 Downloads 2,617 Views Citations
Erratum to “Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach” [Theoretical Economics Letters, 2019, 9, 83-99] (Articles)

Hira Aftab, Rabiul Alam Beg, Sizhong Sun, Zhangyue Zhou

Theoretical Economics Letters Vol.9 No.5, June 14, 2019

DOI: 10.4236/tel.2019.95090 821 Downloads 1,713 Views Citations
Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting (Articles)

Baojun Bian, Xinfu Chen, Xudong Zeng

Journal of Mathematical Finance Vol.9 No.3, August 20, 2019

DOI: 10.4236/jmf.2019.93020 1,025 Downloads 2,709 Views Citations
This article belongs to the Special Issue on Financial Econometrics
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models (Articles)

Tommaso Pellegrino

Journal of Mathematical Finance Vol.9 No.3, August 22, 2019

DOI: 10.4236/jmf.2019.93025 1,020 Downloads 2,279 Views Citations
The Bitcoin’s Network Effects Paradox—A Time Series Analysis (Articles)

Ioanna Roussou, Chaido Dritsaki, Emmanouil Stiakakis

Theoretical Economics Letters Vol.9 No.6, August 27, 2019

DOI: 10.4236/tel.2019.96126 890 Downloads 3,043 Views Citations
Fast Fourier Transform of Multi-Assets Options under Economic Recession Induced Uncertainties (Articles)

Philip Ajibola Bankole, Olabisi O. Ugbebor

American Journal of Computational Mathematics Vol.9 No.3, August 30, 2019

DOI: 10.4236/ajcm.2019.93011 690 Downloads 1,856 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12, December 23, 2019

DOI: 10.4236/am.2019.1012073 835 Downloads 2,670 Views Citations
Study on Globalization of Shipping Stocks Pricing Based on a DC-MSV Model (Articles)

Yiping Yu

Modern Economy Vol.10 No.12, December 27, 2019

DOI: 10.4236/me.2019.1012149 528 Downloads 1,378 Views Citations
Volatility Modelling of Global Financial Crises Effects on the Nigerian Banks (Articles)

Maruf A. Raheem, Timothy K. Samson

Open Journal of Statistics Vol.10 No.2, April 22, 2020

DOI: 10.4236/ojs.2020.102021 680 Downloads 2,038 Views Citations
Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional (Articles)

Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

Journal of Mathematical Finance Vol.10 No.3, August 25, 2020

DOI: 10.4236/jmf.2020.103025 554 Downloads 1,346 Views Citations
This article belongs to the Special Issue on Pricing Strategy, Model and Price Analysis
Modeling Seasonal Fractionally Integrated Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity Model with Seasonal Level Shift Intervention (Articles)

Lawrence Dhliwayo, Florance Matarise, Charles Chimedza

Open Journal of Statistics Vol.10 No.5, October 27, 2020

DOI: 10.4236/ojs.2020.105047 906 Downloads 2,657 Views Citations
A Unified Stochastic Volatility—Stochastic Correlation Model (Articles)

Xiang Lu, Gunter Meissner, Hong Sherwin

Journal of Mathematical Finance Vol.10 No.4, November 25, 2020

DOI: 10.4236/jmf.2020.104039 785 Downloads 3,018 Views Citations
This article belongs to the Special Issue on Financial Statistics
The Idiosyncratic Volatility Puzzle: A Time-Specific Anomaly (Articles)

Xindong Zhang, Jianying Li, Xiaoli Wang, Xiaoxin Hu

Journal of Mathematical Finance Vol.11 No.2, May 31, 2021

DOI: 10.4236/jmf.2021.112017 417 Downloads 1,657 Views Citations
Pricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility (Articles)

Ndeye Fatou Sene, Mamadou Abdoulaye Konte, Jane Aduda

Journal of Mathematical Finance Vol.11 No.2, May 31, 2021

DOI: 10.4236/jmf.2021.112018 638 Downloads 3,662 Views Citations
This article belongs to the Special Issue on Mathematical Finance and Application
Fractional Stochastic Volatility Pricing of European Option Based on Self-Adaptive Differential Evolution (Articles)

Yue Hu, Hongling Dong, Le Fu, Jiayang Zhai

Journal of Mathematical Finance Vol.12 No.3, August 25, 2022

DOI: 10.4236/jmf.2022.123029 359 Downloads 1,563 Views Citations
Time Discretized Variational Iteration Method for the Stochastic Volatility Process with Jumps (Articles)

Henrietta Ify Ojarikre, Ebimene James Mamadu

Advances in Pure Mathematics Vol.12 No.11, November 23, 2022

DOI: 10.4236/apm.2022.1211052 220 Downloads 818 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 335 Downloads 1,266 Views Citations

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