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Volume 17 Issue 3 (_Journal of Applied Statistical Science) $150.00
Statistical Modeling of Volatility in Finance

Guest Editors A. Thavaneswaran and Jagbir Singh

Forward

Preface

1. Random Coefficient Autoregressive (RCA) Models with Nonlinear Stochastic Volatility Innovations
(A. Paseka, S.S. Appadoo and A. Thavaneswaran) pp. 331-350

2. Forecasting Performance of the (MA) Model and the (GMA) Model with Applications to Finance
(Mahendran Shitan, Shelton Peiris and Pehkoa Peng) pp. 351-362

3. Filtering and Option Pricing with Transformations
(H. Gong, J. Singh and A. Thavaneswaran) pp. 363-376

4. Option Pricing Under GARCH, Stochastic Volatility and Linear Autoregrssive Dynamics
(B. Abraham, S.T. Lim and A. Thavaneswaran) pp. 377-408

5. An Empirical Analysis of Simulated Maximum Likelihood in the Stochastic Volatility Model
(Bovas Abraham and Ji Eun Choi) pp. 409-426

6. A Markov Chain Modulated Short-Term Interest Rate Model: Inference on Central Bank Transparency (R. Bhar, D.R. Colwell and M.U. Peiris) pp. 427-446

7. Modeling Foreign Exchange Rates Using Copula-Based Autoregressive Conditional Duration Models
(Fentaw Abegaz and U.V. Naik-Nimbalkar) pp. 447-456

8. Score Test for Varying Copula Parameter in Bivariate Financial Time Series (Fentaw Aregaz and U.V. Naik-Nimbalkar) pp. 457-468

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Volume 17 Issue 3 (_Journal of Applied Statistical Science)