A general framework for predicting returns from multiple currency investments

Article Abstract:

Extended-Auto Regressive Conditional Heteroskedasticity (ARCH) and Random Coefficient (RC) models were utilized to predict returns on financial assets and exchange rates. The extended ARCH model used is a generalization of the ARCH process and involves relaxation of some restrictive assumptions. The models utilized were able to yield lower forecast errors than direct ARCH estimation by permitting the coefficients to be time-varying.

Research, Models, Capital assets, Forecasting, Foreign exchange market

---

Hedging exotic derivatives through stochastic optimization

Article Abstract:

Methods for hedging derivatives through stochastic optimization is presented and evaluated with results showing that the method is an efficient computational method for obtaining the optimal wealth profile. The technique involves formulating the arbitrage-free problem, clarifying the roles of conflicting sets of prices as arbitrage-free prices and market prices and then computation with the use of an algorithm.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Methods, Management, Derivatives (Financial instruments), Hedging (Finance), Statistics (Mathematics), Mathematical statistics

---

Similar abstracts:

• Abstracts: A general extension theorem for binary relations. Arrow's theorem in public good environments with convex technologies
• Abstracts: Countervailing power and consumer prices. Comparing vertical restraints
• Abstracts: The European Internal Market Programme and inbound foreign direct investment. The European internal market programme and inbound foreign direct investment
• Abstracts: Multi-period information markets. Increasing returns, home production and persistence of business cycles

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.