3 Result(s) for ' stock index'
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Context: ...ng the daily conditional variance of 10 financial assets, for a sample period of about 18 years. This exercise is done for seven stock index es (Dow Jones, NASDAQ, S&P500, DAX30, FTSE100, CAC40 and Nikkei 225) and three exchange rates vis-a-vis the US dollar (the GBP...
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Confidence Interval for Solutions of the Vasicek Model
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Mohammad Ali Jafari, Mehran Paziresh, Majid Feshari
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Journal of Finance and Economics. 2019 7 (2). doi: 10.12691/jfe-7-2-5
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Keywords: the asset valuation models, confidence interval, Vasicek model, stochastic differential equations, calibration
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Context: The forecast is very complex in financial markets. The reasons for this are fluctuation of financial data, Such as stock index and rate interest data over time. The determining a model for forecasting fluctuations, can play a significant role in investor's...
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Context: ...solution of the fractional option pricing model as in literature. First, the Hurst exponent of the stock prices of two different stock index using Detrended Fluctuation Analysis (DFA) method was estimated. A program using MATLAB code was written which is used to calcula...
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