This paper presents an effective way of combining two popular, yet distinct approaches used in the hedging literature – dynamic programming (DP) and time-series (GARCH) econometrics. Theoretically consistent yet realistic and tractable models are developed for traders interested in hedging a portfolio. Results from a bootstrapping experiment used to construct confidence bands around the competi...

By extending the GARCH option pricing model of Duan (1995) to more exible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in the case of a threshold GARCH model. For a stock index series with a pronounced leverage eeect, simulated...

We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the Metropolis-Hastings algorithm and the parameters of the proposal density are determined adaptively by using the data sampled by the Markov chain Monte Carlo simulation...

در بررسی­های فونستیک سال 2011 دامنه جنوبی رشته کوه­های زاگرس ایران، یک نمونه ماده از گونه Amphipyra kautti Hacker, 2002 متعلق به خانواده Noctuidae و زیرخانواده Amphipyrinae مناطق کوهستانی استان کهگیلویه بویراحمد جمع­ آوری شناسایی شد. این که برای اولین بار ایران گزارش می­شود، همراه با ویژگی­های افتراقی، تصویر الگوی بال اندام تناسلی شده ارائه است. اطلاعات مربوط دیگر همین جنس مطالعه نیز

Wepropose a novel, simple, efficient and distribution-free re-sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box-Jenkins linear representation of an ARCH/GARCH equation and then to adapt a sieve bootstrap procedure to the non-linear GARCH framework. Our simulation studies indicate that t...