DOCUMENT RESOURCES FOR EVERYONE
Documents tagged
Documents Causality models

1. UNIVERSITY OF ECONOMICS, HO CHI MINH CITYFACULTY OF DEVELOPMENT ECONOMICSTIME SERIES ECONOMETRICSCAUSALITY MODELSCompiled by Phung Thanh Binh1 (2010) “You could not…

Documents option delta with skew adjustment

DELTA HEDGING WITH THE SMILE Sami Vähämaa* Graduate School of Finance and Financial Accounting Department of Accounting and Finance, University of Vaasa Abstract This paper…

Documents CGARCH

Studies in Nonlinear Dynamics & Econometrics Volume 9, Issue 4 2005 Article 1 Can GARCH Models Capture Long-Range Dependence? John Maheu∗ ∗University of Toronto,…

Documents An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Prepared by Vera....

Slide 1 An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Prepared by Vera Tabakova, East Carolina University Slide 2  14.1 The ARCH Model…

Documents Basel Committee on Banking Supervision

Basel Committee on Banking Supervision Working Paper No. 19 Messages from the academic literature on risk measurement for the trading book 31 January 2011 The Working Papers…

Documents Chapter 14 Time-Varying Volatility and ARCH Models

Slide 1 Chapter 14 Time-Varying Volatility and ARCH Models Walter R. Paczkowski Rutgers University Principles of Econometrics, 4th Edition Page ‹#› Chapter 14: Time-Varying…