Stochastic Volatility; Markov Switching; Local Risk Minimization; Hedging; Volatility Derivative - Articles

Volatility Prediction: A Study with Structural Breaks (Articles)

Dilip Kumar

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

DOI: 10.4236/tel.2018.86080 1,160 Downloads 2,758 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Samuelson Effect and Hedging Effectiveness in the CSI 300 Index Futures (Articles)

Chunchou Wu

Theoretical Economics Letters Vol.8 No.14, October 19, 2018

DOI: 10.4236/tel.2018.814180 770 Downloads 2,047 Views Citations
Which Model Performs Better While Forecasting Stock Market Volatility? Answer for Dhaka Stock Exchange (DSE) (Articles)

S. M. Abdullah, Mohammod Akbar Kabir, Kawsar Jahan, Salina Siddiqua

Theoretical Economics Letters Vol.8 No.14, October 26, 2018

DOI: 10.4236/tel.2018.814199 1,157 Downloads 3,040 Views Citations
Application of Iterative Approaches in Modeling the Efficiency of ARIMA-GARCH Processes in the Presence of Outliers (Articles)

Emmanuel Alphonsus Akpan, K. E. Lasisi, Ali Adamu, Haruna Bakari Rann

Applied Mathematics Vol.10 No.3, March 29, 2019

DOI: 10.4236/am.2019.103012 992 Downloads 2,299 Views Citations
Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility (Articles)

Ki Hoon Hong

Theoretical Economics Letters Vol.9 No.7, September 27, 2019

DOI: 10.4236/tel.2019.97150 658 Downloads 1,604 Views Citations
Dynamic Linkages between Brics and Other Emerging Equity Markets (Articles)

Sanjay Sehgal, Arjun Mittal, Anand Mittal

Theoretical Economics Letters Vol.9 No.7, August 31, 2019

DOI: 10.4236/tel.2019.97166 874 Downloads 2,432 Views Citations
Autoregressive Fractionally Integrated Moving Average-Generalized Autoregressive Conditional Heteroskedasticity Model with Level Shift Intervention (Articles)

Lawrence Dhliwayo, Florance Matarise, Charles Chimedza

Open Journal of Statistics Vol.10 No.2, April 29, 2020

DOI: 10.4236/ojs.2020.102023 1,751 Downloads 3,588 Views Citations
The Estimation of the Spot Volatility for Diffusion Process (Articles)

Weiwei Xu, Xin Yang, Shanchao Yang

Open Journal of Statistics Vol.11 No.2, April 21, 2021

DOI: 10.4236/ojs.2021.112017 422 Downloads 1,279 Views Citations
This article belongs to the Special Issue on Parameters Estimation Research
Convergence of a Randomised Change Point Estimator in GARCH Models (Articles)

George Awiakye-Marfo, Joseph Mung’atu, Patrick Weke

Journal of Mathematical Finance Vol.11 No.2, May 12, 2021

DOI: 10.4236/jmf.2021.112013 528 Downloads 1,428 Views Citations
Supplier Association Relationship and Cost Stickiness
—Analysis of Cooperation Effect Based on Environmental Uncertainty (Articles)

Yuchen Yan

Open Journal of Business and Management Vol.9 No.3, May 28, 2021

DOI: 10.4236/ojbm.2021.93065 439 Downloads 1,688 Views Citations
Determinants of Option Markets Liquidity: An Empirical Analysis on European Markets (Articles)

Thomas Poufinas, Konstantinos Pappas

Theoretical Economics Letters Vol.11 No.4, August 31, 2021

DOI: 10.4236/tel.2021.114053 446 Downloads 2,779 Views Citations
Modeling and Forecast of Ghana’s GDP Using ARIMA-GARCH Model (Articles)

Dwumah Barbara, Chenlong Li, Yingchuan Jing, Aning Samuel

Open Access Library Journal Vol.9 No.1, January 29, 2022

DOI: 10.4236/oalib.1108335 391 Downloads 2,597 Views Citations
Efficient Pricing of Low Volatility Path Dependent Options (Articles)

Osei Antwi, Francis Tabi Oduro

Journal of Mathematical Finance Vol.12 No.1, February 21, 2022

DOI: 10.4236/jmf.2022.121012 264 Downloads 1,078 Views Citations
Measuring Rice Price Volatility and Its Determinants in Tanzania: An Implication for Price Stabilization Policies (Articles)

Yohana James Mgale, Shauri Timothy, Provident Dimoso

Theoretical Economics Letters Vol.12 No.2, April 24, 2022

DOI: 10.4236/tel.2022.122031 524 Downloads 2,803 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 218 Downloads 956 Views Citations
Using TGARCH-M to Model the Impact of Good News and Bad News on Covid-19 Related Stocks’ Volatilities (Articles)

Junqi Chen, Hui Li, Yan Lv

Journal of Financial Risk Management Vol.11 No.2, June 30, 2022

DOI: 10.4236/jfrm.2022.112023 811 Downloads 2,956 Views Citations
Forecasting Volatility Based on a New Combined HAR-Type Model with Long Memory and Switching Regime: Empirical Evidence from Equity Realized Volatility (Articles)

Yirong Huang, Zhonglin Wan, Hongyan Li, Yi Luo

Journal of Mathematical Finance Vol.14 No.1, February 27, 2024

DOI: 10.4236/jmf.2024.141005 280 Downloads 1,502 Views Citations
Exchange Rate Volatility, Bilateral Trade, and Investment in Association of Southeast Asian Nations from 2000 to 2021 (Articles)

Kiatnarong Wongsamee, Supakit Boonanegpat

Open Journal of Business and Management Vol.12 No.5, September 23, 2024

DOI: 10.4236/ojbm.2024.125174 137 Downloads 809 Views Citations
Asymmetric Effect of Exchange Rate Volatility on Foreign Direct Investment, Inflation and Balance of Trade in Nigeria (Articles)

Onyewuchi Amaechi Ben-Obi, Oyinlola Olaniyi, David O. K. Okoroafor, Ben Obi

American Journal of Industrial and Business Management Vol.15 No.5, May 26, 2025

DOI: 10.4236/ajibm.2025.155033 166 Downloads 931 Views Citations
Adaptive Learning in Short Time Series (Articles)

Georgios Prokopos, Foteini Kyriazi

Theoretical Economics Letters Vol.15 No.3, June 12, 2025

DOI: 10.4236/tel.2025.153036 79 Downloads 480 Views Citations

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