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New methods of estimating stochastic volatility and the stock return

  • Alghalith, Moawia
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    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.

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    File URL: http://mpra.ub.uni-muenchen.de/20303/2/MPRA_paper_20303.pdf
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20303.

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    Date of creation: 28 Jan 2010
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    Handle: RePEc:pra:mprapa:20303
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    1. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, June.
    2. Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
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