Modeling futures price dynamics on the RTS and MICEX indices

DOI10.3103/S027864191604004XzbMath1367.91176OpenAlexW2552650522MaRDI QIDQ2364212

A. S. Petrovykh, D. V. Denisov, D. Yu. Golembiovskii

Publication date: 18 July 2017

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s027864191604004x

zbMATH Keywords

autoregressive integrated modelfutures on the RTS and MICEX indicesgeneralized model of autoregressive conditional heteroscedasticitymoving the average modelpricing of stock index futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• GAMLSS
• pchip

Cites Work

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• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• A Theory of the Term Structure of Interest Rates
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Monotone Piecewise Cubic Interpolation
• Generalized Additive Models for Location, Scale and Shape

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