Reasonable efforts have been made to publish reliable data and information, but the author
and publisher cannot assume responsibility for the validity of all materials or the …

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

This paper investigates the empirical characteristics of investor risk aversion over equity
return states by estimating a time-varying pricing kernel, which we call the empirical pricing …

The literature on modeling and forecasting time-varying volatility is ripe with acronyms and
abbreviations used to describe the many different parametric models that have been put …

This paper employs bivariate GARCH models to simultaneously estimate the mean and
conditional variance between five different US sector indexes and oil prices. Since many …

In this paper, we develop an efficient lattice algorithm to price European and American
options under discrete time GARCH processes. We show that this algorithm is easily …

Monte Carlo methods have been used for decades in physics, engineering, statistics, and
other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential …

Page 1 mad A. Moosa Elgar E CONOME TRICS AS A CON AR T. Exposing the Limitations and
AbuSeS Of ECOnometrics Page 2 Econometrics as a Con Art Exposing the Limitations and …

This dissertation contains four papers in the field of financial econometrics. In the first paper,
A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is …

The main objective of this paper is to propose an alternative valuation framework for pricing
foreign currency and cross-currency options, which is capable of accommodating existing …