3 citations · 6 across the 12 of their papers we have counts for
Showing 2018Show all
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q-fin.ST2018
Analytic Moments for GARCH Processes
Carol Alexander, Emese Lazar, Silvia Stanescu
For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and…
q-fin.GN2018
Model Risk in Real Option Valuation
Carol Alexander, Xi Chen
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option…