Table of contents - Special Issue on Statistical modelling in Finance Conference 2006 (Temple University)
Guest Editors: Elyas Elyasiani, A. Thavaneswaran, Jagbir Singh
Catastrophe forecasting: seeing “gray” among the “black boxes”
Michael R. PowersThe purpose of this paper is to consider the problem of using “black‐box” methods to forecast catastrophe events, and illustrate the value of independent peer review.
Dynamic monitoring of financial intermediaries with subordinated debt
Gloria González‐Rivera, David NickersonThe purpose of this paper is to show that subordinated debt regulatory proposals assume that transactions in the secondary market of subordinated debt can attenuate moral hazard…
The estimation of nominal and real yield curves from government bonds in Israel
Zvi Wiener, Helena PompushkoThe purpose of this research is to develop and test a mathematical method of deriving zero yield curve from market prices of government bonds.
Fuzzy random‐coefficient volatility models with financial applications
K. Thiagarajah, A. ThavaneswaranThe purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the…
Financial applications of ARMA models with GARCH errors
M. Ghahramani, A. ThavaneswaranFinancial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary…
Parsimonious principle of GARCH models: a Monte‐Carlo approach
Jing WuThis paper is intended to test the robustness of the fitness of nested GARCH models.
Approximating the growth optimal portfolio with a diversified world stock index
Truc Le, Eckhard PlatenThis paper aims to construct and compare various total‐return world stock indices based on daily data.
ISSN:
1526-5943Online date, start – end:
1999Copyright Holder:
Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza