Stochastic Volatility Models - Articles - Scientific Research Publishing

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 1,036 Downloads 2,690 Views Citations
Selection of Heteroscedastic Models: A Time Series Forecasting Approach (Articles)

Imoh Udo Moffat, Emmanuel Alphonsus Akpan

Applied Mathematics Vol.10 No.5, May 23, 2019

DOI: 10.4236/am.2019.105024 916 Downloads 2,831 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 842 Downloads 1,786 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 907 Downloads 3,105 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 721 Downloads 1,918 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 576 Downloads 1,473 Views Citations
Research on Pricing of Shanghai 50ETF Options Based on Fractal B-S Model and GARCH Model (Articles)

Wanting Hu

Modern Economy Vol.11 No.2, February 20, 2020

DOI: 10.4236/me.2020.112031 1,082 Downloads 2,680 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 720 Downloads 2,112 Views Citations
Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model (Articles)

Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube

Journal of Mathematical Finance Vol.10 No.4, October 23, 2020

DOI: 10.4236/jmf.2020.104035 923 Downloads 2,265 Views Citations
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 953 Downloads 2,761 Views Citations
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 446 Downloads 1,772 Views Citations
Exponential GARCH Model with Exogenous Covariate for South Sudanese Pounds—USD Exchange Rate Volatility: On the Effects of Conflict on Volatility (Articles)

Abui Peter Kur, Oscar Ngesa, Rachel Sarguta

Journal of Mathematical Finance Vol.11 No.3, August 13, 2021

DOI: 10.4236/jmf.2021.113026 545 Downloads 3,118 Views Citations
The Impact of Relative Exchange Rate Volatility and Other Multidimensional Determinants on FDI in Egypt (Articles)

Abd-El Atti Nadine, Salah Ashraf, Rashid Nagia

American Journal of Industrial and Business Management Vol.11 No.12, December 10, 2021

DOI: 10.4236/ajibm.2021.1112071 707 Downloads 4,011 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 6,741 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 260 Downloads 879 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
Application of Elzaki Transform Method to Market Volatility Using the Black-Scholes Model (Articles)

Henrietta Ify Ojarikre, Ideh Rapheal, Ebimene James Mamadu

Journal of Applied Mathematics and Physics Vol.12 No.3, March 26, 2024

DOI: 10.4236/jamp.2024.123050 229 Downloads 747 Views Citations
Investigating the Impact of Geopolitical Risks and Uncertainty Factors on Bitcoin (Articles)

José Daniel Cardoso Rodrigues, Petros Golitsis, Pavlos Gkasis

Theoretical Economics Letters Vol.14 No.3, June 28, 2024

DOI: 10.4236/tel.2024.143059 393 Downloads 2,682 Views Citations
Research on the Dynamic Volatility Relationship between Chinese and U.S. Stock Markets Based on the DCC-GARCH Model under the Background of the COVID-19 Pandemic (Articles)

Simin Wu, Yan Liang, Weixun Li

Journal of Applied Mathematics and Physics Vol.12 No.9, September 11, 2024

DOI: 10.4236/jamp.2024.129184 105 Downloads 781 Views Citations
The Role of Forecasting Exchange Rate Volatility and Its Impact on Inflation in Sierra Leone: Evidence from a GARCH-MIDAS approach (Articles)

Edmund Chijeh Eric Tamuke, Lavinia Olayinka Madleine Kamara

Open Access Library Journal Vol.11 No.9, September 19, 2024

DOI: 10.4236/oalib.1112172 113 Downloads 968 Views Citations

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