Stochastic Volatility Models; Calibration - Articles

Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy (Articles)

Nop Sopipan, Pairote Sattayatham, Bhusana Premanode

Journal of Mathematical Finance Vol.2 No.1，February 28, 2012

DOI: 10.4236/jmf.2012.21014 9,705 Downloads 22,493 Views Citations
Black-Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile (Articles)

Matthew C. Modisett, James A. Powell

Applied Mathematics Vol.3 No.6，June 26, 2012

DOI: 10.4236/am.2012.36093 7,309 Downloads 11,380 Views Citations
Relationship between Trading Volume and Asymmetric Volatility in the Korean Stock Market (Articles)

Ki-Hong Choi, Zhu-Hua Jiang, Sang Hoon Kang, Seong-Min Yoon

Modern Economy Vol.3 No.5，September 29, 2012

DOI: 10.4236/me.2012.35077 6,260 Downloads 10,227 Views Citations
Conditional Heteroscedasticity in Streamflow Process: Paradox or Reality? (Articles)

Martins Yusuf Otache, Isiguzo Edwin Ahaneku, Abubakar Sadeeq Mohammed, John Jiya Musa

Open Journal of Modern Hydrology Vol.2 No.4，October 16, 2012

DOI: 10.4236/ojmh.2012.24010 3,973 Downloads 6,992 Views Citations
Cointegration between Exchange Rate Volatility and Key Macroeconomic Fundamentals: Evidence from Nigeria (Articles)

Edet Joshua Udoh, Sunday Brownson Akpan, Daniel Etim John, Inimfon Vincent Patrick

Modern Economy Vol.3 No.7，November 29, 2012

DOI: 10.4236/me.2012.37108 5,964 Downloads 9,967 Views Citations
Behind the Rejection of Alternative Measures of Implied Equity Volatility: A Note (Articles)

G. D. Hancock

Journal of Financial Risk Management Vol.2 No.1，March 28, 2013

DOI: 10.4236/jfrm.2013.21002 3,669 Downloads 7,158 Views Citations
The Empirical Study about Introduction of Stock Index Futures on the Volatility of Spot Market (Articles)

Guiliang Tian, Huixiangzi Zheng

iBusiness Vol.5 No.3B，November 8, 2013

DOI: 10.4236/ib.2013.53B024 5,373 Downloads 7,509 Views Citations
Financial Crisis in Retrospect: Bad Luck or Bad Policies? (Articles)

Gregory M. Dempster, Justin P. Isaacs

Theoretical Economics Letters Vol.4 No.1，February 18, 2014

DOI: 10.4236/tel.2014.41013 4,381 Downloads 6,497 Views Citations
A Comparison of Spillover Effects before, during and after the 2008 Financial Crisis (Articles)

Alethea Rea, William Rea, Marco Reale, Carl Scarrott

Applied Mathematics Vol.5 No.4，March 10, 2014

DOI: 10.4236/am.2014.54057 3,988 Downloads 5,691 Views Citations
Study on the Extreme Risk Spillover between China and World Stock Market after China’s Share Structure Reform (Articles)

Liangyu Wang

Journal of Financial Risk Management Vol.3 No.2，June 12, 2014

DOI: 10.4236/jfrm.2014.32006 3,174 Downloads 5,277 Views Citations
Testing the Long-Memory Features in Return and Volatility of NSE Index (Articles)

Naseem Ahamed, Mamoni Kalita, Aviral Kumar Tiwari

Theoretical Economics Letters Vol.5 No.3，June 29, 2015

DOI: 10.4236/tel.2015.53050 3,008 Downloads 4,025 Views Citations
Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market (Articles)

Wei Dai, Dejun Xie, Bianxia Sun

Open Journal of Social Sciences Vol.3 No.7，July 14, 2015

DOI: 10.4236/jss.2015.37011 3,467 Downloads 4,473 Views Citations
The Impact of Margin Trading on Volatility of Stock Market: Evidence from SSE 50 Index (Articles)

Muwei Chen

Journal of Financial Risk Management Vol.5 No.3，September 29, 2016

DOI: 10.4236/jfrm.2016.53018 2,930 Downloads 7,154 Views Citations
Review of Stock Markets’ Reaction to New Events: Evidence from Brexit (Articles)

Isaac Quaye, Yinping Mu, Braimah Abudu, Ramous Agyare

Journal of Financial Risk Management Vol.5 No.4，December 30, 2016

DOI: 10.4236/jfrm.2016.54025 4,779 Downloads 11,757 Views Citations
An Empirical Study on the Pass-Through Effect of RMB Nominal Effective Exchange Rate on Import Price (Articles)

Alin Xia

Modern Economy Vol.8 No.2，January 26, 2017

DOI: 10.4236/me.2017.82012 2,318 Downloads 3,711 Views Citations
Forecasting Value-at-Risk (VaR) in the Major Asian Economies (Articles)

Faisal Nazir Zargar, Dilip Kumar

Theoretical Economics Letters Vol.8 No.9，June 12, 2018

DOI: 10.4236/tel.2018.89100 865 Downloads 2,080 Views Citations
This article belongs to the Special Issue on Financial Modeling
Half-Life Volatility Measure of the Returns of Some Cryptocurrencies (Articles)

Abonongo John, Anuwoje Ida Logubayom, Raymond Nero

Journal of Financial Risk Management Vol.8 No.1，March 13, 2019

DOI: 10.4236/jfrm.2019.81002 1,594 Downloads 4,336 Views Citations
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models (Articles)

Anthony Ngunyi, Simon Mundia, Cyprian Omari

Journal of Mathematical Finance Vol.9 No.4，October 17, 2019

DOI: 10.4236/jmf.2019.94030 1,501 Downloads 3,983 Views Citations
Exchange Rate Volatility and Economic Growth in the Democratic Republic of Congo (DRC) (Articles)

Allegra Kabamba Mbuyi, Catherine Kato-Kale Kakasi, Clément Muya Ntumba, Elvis Imbaleva Mpebale

Modern Economy Vol.13 No.5，May 31, 2022

DOI: 10.4236/me.2022.135039 405 Downloads 2,170 Views Citations
An Analysis of Gold and US Equity (Articles)

Chikashi Tsuji

Modern Economy Vol.14 No.4，April 30, 2023

DOI: 10.4236/me.2023.144024 136 Downloads 529 Views Citations

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