27 search results - page 3 / 6 » An Empirical Model for Volatility of Returns and Option Pric... |
ESWA
2010
13 years 4 months ago
2010
This study investigates how specification of return distribution for REIT influences the performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST and GARC...
EVOW
2008
Springer
13 years 7 months ago
2008
Springer
The Bacterial Foraging Optimization (BFO) algorithm is a biologically inspired computation technique which is based on mimicking the foraging behavior of E.coli bacteria. This pape...
ICANN
2001
Springer
13 years 10 months ago
2001
Springer
We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past perfo...
ICCS
2001
Springer
13 years 10 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
MANSCI
2010
13 years 10 days ago
2010
We exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq marke...