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Shifts in Individual Parameters of a GARCH Model.
- Published in:
- Journal of Financial Econometrics, 2010, v. 8, n. 1, p. 122, doi. 10.1093/jjfinec/nbp007
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- Article
A Comparative Analysis of Crank-Nicolson Scheme between Finite Volume Method and Finite Difference Method for Pricing European Option.
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- Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 2, p. 1, doi. 10.3329/ganit.v42i2.68017
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- Article
Regime-dependent Characteristics of KOSPI Return.
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- Communications for Statistical Applications & Methods, 2014, v. 21, n. 6, p. 501, doi. 10.5351/CSAM.2014.21.6.501
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- Article
Testing for Nonlinear Dependence in the Credit Default Swap Market.
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- Economics Research International, 2011, p. 1, doi. 10.1155/2011/708704
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- Article
Fractional Variational Iteration Method and Its Application to Fractional Partial Differential Equation.
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- Mathematical Problems in Engineering, 2013, p. 1, doi. 10.1155/2013/543848
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- Article
Worst-Case Value at Risk of Nonlinear Portfolios.
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- Management Science, 2013, v. 59, n. 1, p. 172, doi. 10.1287/mnsc.1120.1615
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- Article
MODELING STOCK MARKET INDEXES WITH COPULA FUNCTIONS.
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- eFinanse, 2011, v. 7, n. 2, p. 1
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- Article
A backward Monte Carlo approach to exotic option pricing.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079
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- Article
Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market.
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- Vision (09722629), 2016, v. 20, n. 2, p. 101, doi. 10.1177/0972262916637259
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- Article
Stochastic Models for Pricing Weather Derivatives using Constant Risk Premium.
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- Journal of the Iranian Statistical Society, 2018, v. 17, n. 2, p. 37, doi. 10.29252/jirss.17.2.4
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- Article
RESEARCH OF VALUE-AT-RISK ESTIMATION APPLICATION IN STOCK MARKET BASED ON COPULA THEORY.
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- Journal of the Balkan Tribological Association, 2016, v. 22, n. 2A-I, p. 1804
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- Article
The Forecasting Ability of GARCH Models for the 2003-07 Crisis: Evidence from S&P500 Index Volatility.
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- Lahore Journal of Business, 2012, v. 1, n. 1, p. 37, doi. 10.35536/ljb.2012.v1.i1.a3
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- Article
On the Parametric Interest of the Option Price from the Black-Scholes Equation.
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- IAENG International Journal of Applied Mathematics, 2016, v. 46, n. 1, p. 87
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- Article
SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY.
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- Finanse, 2015, v. 11, n. 1, p. 32, doi. 10.14636/1734-039X_11_1_004
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- Article
Hedging Barrier Options in GARCH Models with Transaction Costs.
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- Australian & New Zealand Journal of Statistics, 2015, v. 57, n. 3, p. 301, doi. 10.1111/anzs.12120
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- Article
Think again: volatility asymmetry and volatility persistence.
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- Studies in Nonlinear Dynamics & Econometrics, 2019, v. 23, n. 1, p. N.PAG, doi. 10.1515/snde-2017-0020
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- Article
Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model.
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- Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 55, doi. 10.1007/s10690-010-9120-6
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- Article
BOUNDARY CONTROL OF THE BLACK-SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION.
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- Annals of Financial Economics, 2016, v. 11, n. 2, p. -1, doi. 10.1142/S2010495216500093
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- Article
Pricing an Arithmetic Average Reset Option Using the Green Function Method.
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- Asia Pacific Management Review, 2013, v. 18, n. 2, p. 125, doi. 10.6126/APMR.2013.18.2.01
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- Article
Pricing futures by deterministic methods.
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- Acta Numerica, 2012, v. 21, p. 577, doi. 10.1017/S0962492912000074
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- Article
Investors' and Central Bank's Uncertainty Embedded in Index Options.
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- Review of Financial Studies, 2014, v. 27, n. 6, p. 1661, doi. 10.1093/rfs/hhu024
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- Article
Economic Linkages, Relative Scarcity, and Commodity Futures Returns.
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- Review of Financial Studies, 2013, v. 26, n. 5, p. 1324, doi. 10.1093/rfs/hhs127
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- Article
What's Vol Got to Do with It.
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- Review of Financial Studies, 2011, v. 24, n. 1, p. 1, doi. 10.1093/rfs/hhq085
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- Article
Dependence between Croatian and European stock markets - A copula GARCH approach.
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- Proceedings of Rijeka Faculty of Economics: Journal of Economics & Business, 2013, v. 31, n. 2, p. 209
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- Article
Editor's Letter.
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- Journal of Derivatives, 2024, v. 31, n. 4, p. 1, doi. 10.3905/jod.2024.31.4.001
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- Article
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation.
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- Journal of Derivatives, 2023, v. 30, n. 3, p. 42, doi. 10.3905/jod.2022.1.175
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- Article
Improving and Extending the Wu-Zhu Static Hedge.
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- Journal of Derivatives, 2023, v. 30, n. 3, p. 26, doi. 10.3905/jod.2022.1.173
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- Article
On the Term Structure of VIX Futures' Implied Convexity.
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- Journal of Derivatives, 2023, v. 30, n. 3, p. 10, doi. 10.3905/jod.2022.1.170
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- Article
Untitled.
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- Journal of Derivatives, 2023, v. 30, n. 3, p. 1, doi. 10.3905/jod.2023.30.3.001
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- Article
Malliavin Derivatives of Derivative Securities.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 65, doi. 10.3905/jod.2022.30.2.065
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- Article
Handling the Use of Derivatives in Performance Attribution.
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- Journal of Derivatives, 2022, v. 29, n. 4, p. 121, doi. 10.3905/jod.2022.1.154
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- Article
An Option-Based Model for Valuing the Common Stock of Emerging-Growth Firms.
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- Journal of Derivatives, 2016, v. 23, n. 4, p. 33, doi. 10.3905/jod.2016.23.4.033
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- Article
Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option Markets.
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- Journal of Derivatives, 2017, v. 24, n. 3, p. 42, doi. 10.3905/jod.2017.24.3.042
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- Article
Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps.
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- Journal of Derivatives, 2017, v. 24, n. 3, p. 9, doi. 10.3905/jod.2017.24.3.009
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- Article
The Valuation of Compound Options: A Correction and an Extension.
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- Journal of Derivatives, 2015, v. 22, n. 4, p. 92, doi. 10.3905/jod.2015.22.4.092
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- Article
What We Can Learn from Pricing 139,879 Individual Stock Options.
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- Journal of Derivatives, 2015, v. 22, n. 4, p. 54, doi. 10.3905/jod.2015.22.4.054
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- Article
GARCH Option Valuation: Theory and Evidence.
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- Journal of Derivatives, 2013, v. 21, n. 2, p. 8, doi. 10.3905/jod.2013.21.2.008
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- Article
SIMPLE CHOOSER OPTIONS WITH MAPLE.
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- Technical Transactions / Czasopismo Techniczne, 2014, n. 17, p. 39
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- Article
Forecasting the variance and return of Mexican financial series with symmetric GARCH models.
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- Theoretical & Applied Economics, 2013, v. 20, n. 3, p. 61
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- Article
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 6, p. -1, doi. 10.1142/S0219024917500376
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- Article
ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 5, p. -1, doi. 10.1142/S0219024916500308
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- Article
The Peculiar Logic of the Black-Scholes Model.
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- Philosophy of Science, 2018, v. 85, n. 5, p. 1152, doi. 10.1086/699677
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- Article
Lessons learned from AQR: Essential elements of the model review process.
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- Journal of Risk Management in Financial Institutions, 2014, v. 8, n. 1, p. 76
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- Article
Sparsity-Homotopy Perturbation Inversion Method with Wavelets and Applications to Black-Scholes Model and Todaro Model.
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- Mathematical Problems in Engineering, 2016, p. 1, doi. 10.1155/2016/2371826
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- Article
Stochastic Differential Equations for Modeling of High Maneuvering Target Tracking.
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- ETRI Journal, 2013, v. 35, n. 5, p. 849, doi. 10.4218/etrij.13.0113.0097
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- Article
Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests.
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- Peace Economics, Peace Science, & Public Policy, 2014, v. 20, n. 2, p. 267, doi. 10.1515/peps-2013-0050
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- Article
INFLÁCIÓN E INCERTIDUMBRE INFLACIONARIA EN BOLÍVIA.
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- Trimestre Económico, 2013, v. 80, n. 2, p. 401, doi. 10.20430/ete.v80i318.93
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- Article
ON A GJR-GARCH MODEL WITH THE STANDARDIZED PEARSON TYPE IV DISTRIBUTION.
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- Global Business & Economics Anthology, 2014, v. 1, p. 73
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- Article
A Market Volatility Analysis of the Shanghai-Hong Kong Stock Connect Program.
- Published in:
- International Journal of Business & Economics, 2018, v. 17, n. 2, p. 113
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- Article
ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.
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- Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25
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- Article