𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Yield-factor volatility models

✍ Scribed by Christophe Pérignon; Daniel R. Smith


Book ID
116614917
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
266 KB
Volume
31
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


VOLATILITY MODELS
✍ KIMIO MORIMUNE 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 165 KB
Factors affecting the volatile-matter yi
✍ Brian C. Young 📂 Article 📅 1980 🏛 Elsevier Science 🌐 English ⚖ 630 KB

Regulations for the safe transport of chars that may self-heat specify an upper limit for their volatilematter yield. However, the volatile matter of chars made from two Australian coals has been shown to consist not only of the inherent volatiles remaining after carbonization of the parent coal, bu

Local volatility dynamic models
✍ René Carmona; Sergey Nadtochiy 📂 Article 📅 2008 🏛 Springer-Verlag 🌐 English ⚖ 992 KB
Validation of volatility models
✍ Malik Magdon-Ismail; Yaser S. Abu-Mostafa 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 254 KB 👁 1 views

In forecasting a ®nancial time series, the mean prediction can be validated by direct comparison with the value of the series. However, the volatility or variance can only be validated by indirect means such as the likelihood function. Systematic errors in volatility prediction have an `economic val

Gamma stochastic volatility models
✍ Bovas Abraham; N. Balakrishna; Ranjini Sivakumar 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 256 KB

## Abstract This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the e