Recent developments in volatility modeling and applications

DOI10.1155/JAMDS/2006/86320MaRDI QIDQ955468zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, S. S. Appadoo, C. R. Bector

Publication date 20 November 2008

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/jamds/2006/86320

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Some recent developments in stochastic volatility modelling
• scientific article; zbMATH DE number 1253577
• Volatility, risk modeling and utility
• Handbook of Volatility Models and Their Applications
• On the applicability of stochastic volatility models
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Introduction to the special issue on volatility modelling

Cites work

• scientific article; zbMATH DE number 5211919 (Why is no real title available?)
• scientific article; zbMATH DE number 2230444 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A nonlinear time series model and estimation of missing observations
• A simple nonlinear time series model with misleading linear properties
• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Forecasting volatility
• Generalized autoregressive conditional heteroscedasticity
• Moments of Markov switching models
• Prediction via estimating functions
• Properties of moments of a family of GARCH processes
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• RCA models with correlated errors
• Random coefficient GARCH models
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction

Cited in

(7)

• Handbook of Volatility Models and Their Applications
• Random coefficient GARCH models
• Random coefficient mixture (RCM) GARCH models
• Editorial. Quantitative developments in financial volatility -- theory and practice
• Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH

This page was built for publication: Recent developments in volatility modeling and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q955468)