Volatility Models - Articles - Scientific Research Publishing

Stock Return Conjunction in Markets with Deteriorated Sentiment: Evidence from the Japanese Electric Appliances Industry (Articles)

Chikashi Tsuji

Modern Economy Vol.3 No.4, July 24, 2012

DOI: 10.4236/me.2012.34060 4,218 Downloads 7,006 Views Citations
Volatility Analysis of Web News and Public Attitude by GARCH Model (Articles)

Pinrui Yu, Tianzhen Liu, Qian Ding

Psychology Vol.3 No.8, August 23, 2012

DOI: 10.4236/psych.2012.38092 4,452 Downloads 7,310 Views Citations
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 4,862 Downloads 8,142 Views Citations
Cross-Market Valuation with Full Information on the Company’s Capital Structure (Articles)

Pascal Heider, Peter N. Posch

Journal of Mathematical Finance Vol.3 No.3A, October 30, 2013

DOI: 10.4236/jmf.2013.33A007 4,817 Downloads 7,551 Views Citations
This article belongs to the Special Issue on Corporate Finance
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 4,542 Downloads 7,146 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 5,840 Downloads 7,215 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 5,420 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 3,597 Downloads 4,979 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
Stock Price Information Content, Idiosyncratic Volatility and Expected Return (Articles)

Meimei Liang

Journal of Mathematical Finance Vol.5 No.4, November 25, 2015

DOI: 10.4236/jmf.2015.54034 5,428 Downloads 7,197 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 7,537 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 4,411 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 4,128 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 4,715 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 3,698 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 3,092 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 4,343 Views Citations
Financial Integration and Portfolio Diversification: Evidence from CIVETS Stock Markets (Articles)

Kashif Saleem, Osama Al-Hares, Sheraz Ahmed

Theoretical Economics Letters Vol.6 No.6, December 14, 2016

DOI: 10.4236/tel.2016.66121 1,701 Downloads 3,355 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 1,680 Downloads 3,480 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 1,916 Downloads 6,189 Views Citations

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