Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 199
... specification . In both cases the nonlinearities are modeled as part of the conditional mean of the process , rather than of its variance . Using a panel dataset for five East European countries for years 1993 - 2001 , it results that ...
... specification . In both cases the nonlinearities are modeled as part of the conditional mean of the process , rather than of its variance . Using a panel dataset for five East European countries for years 1993 - 2001 , it results that ...
Página 206
... specification would include a nonlinear function of some explanatory variables in the mean of the process . In particular a LSTAR - type specification has recently been proposed by Sitzia and Brasili , where current exchange rates ...
... specification would include a nonlinear function of some explanatory variables in the mean of the process . In particular a LSTAR - type specification has recently been proposed by Sitzia and Brasili , where current exchange rates ...
Página 302
... specifications are listed in Table 1. Although , this leads to a very large num- ber of different volatility models , we have by no means ex- hausted the space of possible GARCH - type model . A complete specification is achieved ...
... specifications are listed in Table 1. Although , this leads to a very large num- ber of different volatility models , we have by no means ex- hausted the space of possible GARCH - type model . A complete specification is achieved ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
AANN agents American put American put options analysis applied approach approximation arbitrage barrier option Black-Scholes bond calculated call option coefficients computed convertible bond correlation covariance currency data points data set decision defined delta hedge denote derived distribution dynamics Econometrics Economics equation error estimated evaluation exchange rate Figure financial time series forecast formula function fuzzy genetic algorithm given Heston model Hong Kong hypothesis implied volatility indicators input interest rate Journal of Finance kernel kurtosis linear matrix method momentum moving average neural network nonlinear normal normal distribution observations option pricing p-value pair-wise paper parameters performance period portfolio prediction problem Programming put options random ratio regression reset returns risk sample sequences Sharpe Ratio simulation standard deviation statistical stochastic volatility stock price strike price support vector machines SVMs Table tion trading rules training data trend variables variance wavelets