Alghalith, Moawia (2010): New methods of estimating stochastic volatility and the stock return.

PDF
MPRA_paper_20303.pdf Download (89kB)  Preview 
Abstract
We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.
Item Type:  MPRA Paper 

Original Title:  New methods of estimating stochastic volatility and the stock return 
Language:  English 
Keywords:  portfolio, investment, stock, stochastic volatility 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G0  General 
Item ID:  20303 
Depositing User:  Moawia Alghalith 
Date Deposited:  29 Jan 2010 08:24 
Last Modified:  05 Oct 2016 10:52 
References:  Alghalith, M. (2009). "A new stochastic factor model: general explicit solutions." Applied Mathematics Letters, 22, pp 18521854. Alghalith, M. (2008). "Recent applications of theory of the firm under uncertainty." European Journal of Operational Research, 186, pp 443450. Carr, P. and A. Hirsa (2007). "Forward evolutions equations for knockout options." in Advances in Mathematical Finance, Birkhauser, Boston, pp 195218. CastanedaLeyva, N. and D. HernandezHernandez (2006). "Optimal consumptioninvestment problems in incomplete markets with random coefficients." Decision and Control, 2005 and 2005 European Control Conference. CDCECC apos;05. 44th IEEE Conference, pp 6650  6655. Cvitanic, J. and Zapatero, F. (2004). Introduction to the economics and mathematics of financial markets, MIT Press, Cambridge, MA. Ferulano, R. (2009). "A mixed historical formula to forecast volatility." Journal of Asset Management, 10, pp 124136. Focardi, F. and F. Fabozzi (2004). " The Mathematics of Financial Modeling and Investment Management. " Wiley ESeries. Geman, H. (2007). "Mean reversion versus random walk in oil and natural gas prices." in Advances in Mathematical Finance, Birkhauser, Boston, pp 219230. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/20303 