Search Results - "Frank, Julieta"

Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread? by Arzandeh, Mehdi, Frank, Julieta

“…Abstract Price discovery is the incorporation of information to prices through the actions of traders. Previous studies in financial markets have found…”
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Generalized value at risk forecasting by Thavaneswaran, Aerambamoorthy, Paseka, Alex, Frank, Julieta

“…In this paper, using estimating function approach, a new optimal volatility estimator is introduced and based on the recursive form of the estimator a…”
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Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets by Frank, Julieta, Garcia, Philip

“…Using literature-based measures and a modified Bayesian method specified here, we estimate liquidity costs and their determinants for the live cattle and hog…”
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Fuzzy Option Pricing Using a Novel Data-Driven Feed Forward Neural Network Volatility Model by Thavaneswaran, A., Thulasiram, Ruppa K., Frank, Julieta, Zhu, Zimo, Singh, Manmohit

“…Recently there has been a growing interest in combining randomness and fuzziness to solve option pricing problems in finance using volatility models such as…”
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Inference for random coefficient volatility models by Thavaneswaran, A., Liang, You, Frank, Julieta

“…Estimating functions have been shown to be convenient to study inference for nonlinear time series models. One such model is the recently proposed Random…”
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Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches by Frank, Julieta, Garcia, Philip

“…Estimating the cost of liquidity in agricultural futures markets is challenging because bid‐ask spreads are usually not observed. Based on an ability to…”
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Time-varying risk premium: further evidence in agricultural futures markets by Frank, J., Garcia, P.

“…Research has provided mixed results regarding the presence of a time-varying risk premium in agricultural futures markets. In this article we test for the…”
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Portfolio Optimization Using a Novel Data-Driven EWMA Covariance Model with Big Data by Zhu, Zimo, Thavaneswaran, Aerambamoorthy, Paseka, Alexander, Frank, Julieta, Thulasiram, Ruppa

“…Recently there has been a growing interest in using machine learning methods with empirical variance covariance matrix of returns to study Markovitz portfolio…”
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Implied transaction costs in agricultural futures markets by Frank, Julieta M

“…The estimation of costs associated with operating in futures markets is challenging as portions of the costs are implied by prices and many times are not…”
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Implied transaction costs in agricultural futures markets by Frank, Julieta M

“…The estimation of costs associated with operating in futures markets is challenging as portions of the costs are implied by prices and many times are not…”
Get full text