Equity Return Volatility Persistence - Articles - Scientific Research Publishing

Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications (Articles)

Oleksandr Zhylyevskyy

Theoretical Economics Letters Vol.2 No.4, November 1, 2012

DOI: 10.4236/tel.2012.24074 4,865 Downloads 8,148 Views Citations
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Mathematical Finance Vol.3 No.1, February 26, 2013

DOI: 10.4236/jmf.2013.31002 6,867 Downloads 13,085 Views Citations
A Study of Changes in Risk Appetite in the Stock Market and the Housing Market before and after the Global Financial Crisis in 2008 Using the vKOSPI (Articles)

Jin Yong Yang, Sang-Heon Lee

Modern Economy Vol.4 No.11, November 4, 2013

DOI: 10.4236/me.2013.411077 4,544 Downloads 7,150 Views Citations
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Applied Mathematics and Physics Vol.2 No.7, June 13, 2014

DOI: 10.4236/jamp.2014.27062 5,474 Downloads 8,368 Views Citations
Index Fund Factor: The View beyond the Wall (Articles)

Joseph Ojih

Open Journal of Social Sciences Vol.2 No.9, August 27, 2014

DOI: 10.4236/jss.2014.29033 5,841 Downloads 7,217 Views Citations
The Unemployment Volatility Puzzle: A Note on the Role of Reference Points (Articles)

Vincent Boitier

Theoretical Economics Letters Vol.5 No.1, February 12, 2015

DOI: 10.4236/tel.2015.51013 3,929 Downloads 5,422 Views Citations
Application of Volatility in Portfolio Construction (Articles)

Michael Ha, George Z. Liu, Lihui Zheng

Journal of Applied Mathematics and Physics Vol.3 No.7, June 30, 2015

DOI: 10.4236/jamp.2015.37099 3,598 Downloads 4,981 Views Citations
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 7,544 Downloads 9,407 Views Citations
Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation (Articles)

Matthew Ginley, David W. Scott, Katherine E. Ensor

Journal of Mathematical Finance Vol.5 No.5, November 30, 2015

DOI: 10.4236/jmf.2015.55039 5,283 Downloads 7,539 Views Citations
This article belongs to the Special Issue on Density Estimation in Finance
Option Pricing with Stochastic Volatility (Articles)

Rossano Giandomenico

Journal of Applied Mathematics and Physics Vol.3 No.12, December 25, 2015

DOI: 10.4236/jamp.2015.312189 2,794 Downloads 4,414 Views Citations
An Econometric Approach to Incorporating Non-Normality in VaR Measurement (Articles)

Victor Gumbo, Simiso Siziba

Journal of Mathematical Finance Vol.6 No.1, February 25, 2016

DOI: 10.4236/jmf.2016.61010 2,887 Downloads 4,130 Views Citations
Modeling and Forecasting Financial Volatilities Using a Joint Model for Range and Realized Volatility (Articles)

Yunqian Ma, Yuanying Jiang

Open Journal of Business and Management Vol.4 No.2, April 12, 2016

DOI: 10.4236/ojbm.2016.42022 2,742 Downloads 4,718 Views Citations
On Detecting Sudden Changes in the Unconditional Volatility of a Time Series (Articles)

Dilip Kumar

Theoretical Economics Letters Vol.6 No.2, April 26, 2016

DOI: 10.4236/tel.2016.62028 2,395 Downloads 3,699 Views Citations
Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility (Articles)

Daiki Maki

Open Journal of Statistics Vol.6 No.5, October 8, 2016

DOI: 10.4236/ojs.2016.65064 1,718 Downloads 3,093 Views Citations
Valuating New Product Development Project with a Stochastic Volatility Model (Articles)

Chengru Hu, Chulhee Jun, Maggie Foley

Journal of Mathematical Finance Vol.6 No.5, November 30, 2016

DOI: 10.4236/jmf.2016.65064 1,834 Downloads 4,348 Views Citations
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models (Articles)

Manamba Epaphra

Journal of Mathematical Finance Vol.7 No.1, February 6, 2017

DOI: 10.4236/jmf.2017.71007 6,050 Downloads 17,597 Views Citations
Macroeconomic Information and the Implied Volatility: Evidence from India VIX (Articles)

Palamalai Srinivasan

Theoretical Economics Letters Vol.7 No.3, April 17, 2017

DOI: 10.4236/tel.2017.73037 1,681 Downloads 3,485 Views Citations
Stock Exchanges Comparison between Mainland China and H.K. Based on the SVL Model (Articles)

Jiahui Lin

Open Journal of Statistics Vol.7 No.3, May 11, 2017

DOI: 10.4236/ojs.2017.73027 1,917 Downloads 6,194 Views Citations
Accounting and Stock Market Performance in the US: Evidence from Joiners and Leavers (Articles)

Christos Floros, Efthalia Tabouratzi, Dimitris Charamis, Stella Zounta

Theoretical Economics Letters Vol.7 No.4, May 17, 2017

DOI: 10.4236/tel.2017.74050 1,921 Downloads 4,347 Views Citations
An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange (Articles)

Chaido Dritsaki

Journal of Mathematical Finance Vol.7 No.2, May 19, 2017

DOI: 10.4236/jmf.2017.72020 3,816 Downloads 9,941 Views Citations

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