Volatility Trading - Articles - Scientific Research Publishing

Regime-Switching Model on Hourly Electricity Spot Price Dynamics (Articles)

Samuel Asante Gyamerah, Philip Ngare

Journal of Mathematical Finance Vol.8 No.1，February 7, 2018

DOI: 10.4236/jmf.2018.81008 942 Downloads 2,072 Views Citations
Unravelling the Cipher of Indian Rupee’s Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models (Articles)

Shalini Talwar, Aparna Bhat

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

DOI: 10.4236/tel.2018.86079 709 Downloads 1,601 Views Citations
This article belongs to the Special Issue on Computational Economics and Econometrics
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model (Articles)

Chidi U. Okonkwo, Bright O. Osu, Silas A. Ihedioha, Chigozie Chibuisi

Journal of Mathematical Finance Vol.8 No.4，September 30, 2018

DOI: 10.4236/jmf.2018.84039 1,236 Downloads 2,907 Views Citations
This article belongs to the Special Issue on Stochastic Methods and Finance
How Are Structural Breaks Related to Stock Return Volatility Persistence? Evidence from China and Japan (Articles)

Chikashi Tsuji

Modern Economy Vol.9 No.10，October 18, 2018

DOI: 10.4236/me.2018.910102 684 Downloads 1,698 Views Citations
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 871 Downloads 2,088 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 812 Downloads 2,306 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 735 Downloads 1,361 Views Citations
Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting (Articles)

Baojun Bian, Xinfu Chen, Xudong Zeng

Journal of Mathematical Finance Vol.9 No.3，August 20, 2019

DOI: 10.4236/jmf.2019.93020 880 Downloads 2,170 Views Citations
This article belongs to the Special Issue on Financial Econometrics
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models (Articles)

Tommaso Pellegrino

Journal of Mathematical Finance Vol.9 No.3，August 22, 2019

DOI: 10.4236/jmf.2019.93025 874 Downloads 1,771 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 745 Downloads 2,420 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 574 Downloads 1,448 Views Citations
On the Contribution of the Stochastic Integrals to Econometrics (Articles)

Lewis N. K. Mambo, Rostin M. M. Mabela, Isaac K. Kanyama, Eugène M. Mbuyi

Applied Mathematics Vol.10 No.12，December 23, 2019

DOI: 10.4236/am.2019.1012073 712 Downloads 2,122 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 441 Downloads 997 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 930 Downloads 2,065 Views Citations
Malliavin Differentiability of CEV-Type Heston Model (Articles)

Shota Tsumurai

Journal of Mathematical Finance Vol.10 No.1，February 26, 2020

DOI: 10.4236/jmf.2020.101012 654 Downloads 1,406 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 570 Downloads 1,567 Views Citations
Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional (Articles)

Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

Journal of Mathematical Finance Vol.10 No.3，August 25, 2020

DOI: 10.4236/jmf.2020.103025 451 Downloads 1,007 Views Citations
This article belongs to the Special Issue on Pricing Strategy, Model and Price Analysis
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 764 Downloads 1,771 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 733 Downloads 2,006 Views Citations
A Unified Stochastic Volatility—Stochastic Correlation Model (Articles)

Xiang Lu, Gunter Meissner, Hong Sherwin

Journal of Mathematical Finance Vol.10 No.4，November 25, 2020

DOI: 10.4236/jmf.2020.104039 649 Downloads 2,359 Views Citations
This article belongs to the Special Issue on Financial Statistics

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