Previous studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and Exponential GARCH models of conditional volatility. By addin...

We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure is done on a continuously invertible domain. This approach gives for the first time the strong consistency of the QMLE used by Nelson in [29] f...

This paper presents a method to improve implementation accuracy of a recently proposed CORDIC ARMA lattice filter. Since the CORDIC ARMA lattice filter algorithm has a problem in its shift sequence, i t cannot implement a lattice filter accurately. Therefore, in this paper we apply the shift sequence proposed by Walther without the problem to the CORDIC ARMA lattice filter, and then we realize ...

In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity, mixing and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.

Autoregressive moving average (ARMA) models are useful statistical tools to examine the dynamical characteristics of ecological time-series data. Here, we illustrate the utility and challenges of applying ARMA (p,q) models, where p is the dimension of the autoregressive component of the model, and q is the dimension of the moving average component. We focus on parameter estimation and model sel...

We report armA in an Escherichia coli pig isolate from Spain. The resistance gene was borne by self-transferable IncN plasmid pMUR050. Molecular analysis of the plasmid and of the armA locus confirmed the spread of this resistance determinant.

This research investigates the hedging effectiveness of stock index futures markets in Malaysia and Singapore by employing various hedge ratio estimation methods, which comprises of the conventional OLS model, VECM, EGARCH and bivariate GARCH. The empirical results indicate that the Kuala Lumpur Futures Index (KLFI) provides higher hedging effectiveness compared to the Straits Times Index (STI)...