Content analysis of stochastic volatility model in discrete and continuous time setting
This study investigated the popularity of stochastic volatility in recent literature. Stochastic volatility models are common in the financial markets and decision making process. Efficient managing scenarios to these problems will reduce risks in future valuations in many financial assets.A volatil...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MAXWELL Science Publication
2015
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/18124/1/RJASET%2010%2010%20%202015%201185-1191.pdf |
| _version_ | 1825803988712292352 |
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| author | al-Hagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_facet | al-Hagyan, Mohammed Misiran, Masnita Omar, Zurni |
| author_sort | al-Hagyan, Mohammed |
| collection | UUM |
| description | This study investigated the popularity of stochastic volatility in recent literature. Stochastic volatility models are common in the financial markets and decision making process. Efficient managing scenarios to these problems will reduce risks in future valuations in many financial assets.A volatility model that is stochastic can better capture the time-varying elements mostly absent in its counterpart, a standard volatility model. In this study, a
content analysis is conducted to extract information on mostly used enhancement-stochastic models available in literature.The finding indicates that stochastic volatility with long memory pioneers in SciVerse search engine,
whereas stochastic volatility with jump is the highest numbers in publication, in particular the Google Scholar. |
| first_indexed | 2024-07-04T06:07:04Z |
| format | Article |
| id | uum-18124 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:07:04Z |
| publishDate | 2015 |
| publisher | MAXWELL Science Publication |
| record_format | eprints |
| spelling | uum-181242016-06-15T08:47:35Z https://repo.uum.edu.my/id/eprint/18124/ Content analysis of stochastic volatility model in discrete and continuous time setting al-Hagyan, Mohammed Misiran, Masnita Omar, Zurni QA Mathematics This study investigated the popularity of stochastic volatility in recent literature. Stochastic volatility models are common in the financial markets and decision making process. Efficient managing scenarios to these problems will reduce risks in future valuations in many financial assets.A volatility model that is stochastic can better capture the time-varying elements mostly absent in its counterpart, a standard volatility model. In this study, a content analysis is conducted to extract information on mostly used enhancement-stochastic models available in literature.The finding indicates that stochastic volatility with long memory pioneers in SciVerse search engine, whereas stochastic volatility with jump is the highest numbers in publication, in particular the Google Scholar. MAXWELL Science Publication 2015 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/18124/1/RJASET%2010%2010%20%202015%201185-1191.pdf al-Hagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2015) Content analysis of stochastic volatility model in discrete and continuous time setting. Research Journal of Applied Sciences, Engineering and Technology, 10 (10). pp. 1185-1191. ISSN 2040-7459 http://doi.org/10.19026/rjaset.10.1886 doi:10.19026/rjaset.10.1886 doi:10.19026/rjaset.10.1886 |
| spellingShingle | QA Mathematics al-Hagyan, Mohammed Misiran, Masnita Omar, Zurni Content analysis of stochastic volatility model in discrete and continuous time setting |
| title | Content analysis of stochastic volatility model in discrete and continuous time setting |
| title_full | Content analysis of stochastic volatility model in discrete and continuous time setting |
| title_fullStr | Content analysis of stochastic volatility model in discrete and continuous time setting |
| title_full_unstemmed | Content analysis of stochastic volatility model in discrete and continuous time setting |
| title_short | Content analysis of stochastic volatility model in discrete and continuous time setting |
| title_sort | content analysis of stochastic volatility model in discrete and continuous time setting |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/18124/1/RJASET%2010%2010%20%202015%201185-1191.pdf |
| work_keys_str_mv | AT alhagyanmohammed contentanalysisofstochasticvolatilitymodelindiscreteandcontinuoustimesetting AT misiranmasnita contentanalysisofstochasticvolatilitymodelindiscreteandcontinuoustimesetting AT omarzurni contentanalysisofstochasticvolatilitymodelindiscreteandcontinuoustimesetting |