Author: CIRANO.Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Alternative Models for Stock Price Dynamics
Author: CIRANO.Publisher: Montréal : CIRANO
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Alternative Models of Stock Prices Dynamics
Author: Mikhail ChernovPublisher:
ISBN:
Category :
Languages : en
Pages : 38
Book Description
The purpose of this paper is to shed further light on the tensions that exist between the empirical fit of stochastic volatility (SV) models and their linkage to option pricing. A number of recent papers have investigated several specifications of one-factor SV diffusion models associated with option pricing models. The empirical failure of one-factor affine, Constant Elasticity of Variance (CEV), and one-factor log-linear SV models leaves us with two strategies to explore: (1) add a jump component to better fit the tail behavior or (2) add an additional (continuous path) factor where one factor controls the persistence in volatility and the second determines the tail behavior. Both have been partially pursued and our paper embarks on a more comprehensive examination which yields some rather surprising results. Adding a jump component to the basic Heston affine model is known to be a successful strategy as demonstrated by Andersen et al. (1999), Eraker et al. (1999), Chernov et al. (1999), and Pan (1999). Unfortunately, the presence of a jump component introduces quite a few unpleasant econometric issues. In addition, several financial issues, like hedging and risk factors become more complex. In this paper we show that a two-factor log-linear SV diffusion model (without jumps) appears to yield a remarkably good empirical fit. We estimate the model via the EMM procedure of Gallant and Tauchen (1996) which allows us to compare the non-nested log-linear SV diffusion with the affine jump specification. Obviously, there is one drawback to the log-linear SV models when it comes to pricing derivatives since no closed-form solutions are available. Against this cost weights the advantage of avoiding all the complexities involved with jump processes.
An Evaluation of Alternative Models for Predicting Stock Volatility
Author: Per FrennbergAlternative models for conditional stock volatility
Author: A. R. PaganEvaluating Alternative Models for Conditional Stock Volatility
Author: R. Glen DonaldsonPublisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 28
Book Description
Alternative Models for Conditional Stock Volatility
Author: Alternative Models of Asymmetric Volatility in Stock Returns
Author: Ludger HentschelPrice-Forecasting Models for First Eagle Alternative Capital Gbc Inc FCRW Stock
Author: Ton Viet TaPublisher:
ISBN:
Category :
Languages : en
Pages : 86
Book Description
https: //www.dinhxa.com One-Week Free Trial (subject to change) Do you want to earn up to a 539% annual return on your money by two trades per day on First Eagle Alternative Capital Gbc Inc FCRW Stock? Reading this book is the only way to have a specific strategy. This book offers you a chance to trade FCRW Stock at predicted prices. Eight methods for buying and selling FCRW Stock at predicted low/high prices are introduced. These prices are very close to the lowest and highest prices of the stock in a day. All methods are explained in a very easy-to-understand way by using many examples, formulas, figures, and tables. The BIG DATA of the 458 consecutive trading days (from October 9, 2018 to March 17, 2021) are utilized. The methods do not require any background on mathematics from readers. Furthermore, they are easy to use. Each takes you no more than 30 seconds for calculation to obtain a specific predicted price. The methods are not transient. They cannot be beaten by Mr. Market in several years, even until the stock doubles its current age. They are traits of Mr. Market. The reason is that the author uses the law of large numbers in the probability theory to construct them. In other words, you can use the methods in a long time without worrying about their change. The efficiency of the methods can be checked easily. Just compare the predicted prices with the actual price of the stock while referring to the probabilities of success which are shown clearly in the book (click the LOOK INSIDE button to read more information before buying this book). The book is very useful for Investors who have decided to buy the stock and keep it for a long time (as the strategy of Warren Buffett), or to sell the stock and pay attention to other stocks. The methods will help them to maximize profits for their decision. Day traders who buy and sell the stock many times in a day. Although each method is valid one time per day, the information from the methods will help the traders buy/sell the stock in the second time, third time or more in a day. Beginners to FCRW Stock. The book gives an insight about the behavior of the stock. They will surely gain their knowledge of FCRW Stock after reading the book. Everyone who wants to know about the U.S. stock market. https: //www.dinhxa.com includes a software (app) for stock price forecasting using the methods in this book. The software gives 114 predictions while this book gives 16. One-Week Free Trial (subject to change)
Alternative Models of Assymmetric Volatility in Stock Returns
Author: Ludger HentschelAlternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities
Author: Spaseski, NarelaPublisher: IGI Global
ISBN: 1522532609
Category : Business & Economics
Languages : en
Pages : 345
Book Description
Economics is an integral aspect to every successful society, yet basic financial practices have gone unchanged for decades. Analyzing unconventional finance methods can provide new ways to ensure personal financial futures on an individual level, as well as boosting international economies. Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities is an essential reference source that discusses methods and techniques that make financial administration more efficient for professionals in economic fields. Featuring relevant topics such as mean-variance portfolio theory, decision tree analysis, risk protection strategies, and asset-liability management, this publication is ideal for academicians, students, economists, and researchers that would like to stay current on new and innovative methods to transform the financial realm.