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• W2013939740 abstract "This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the stochastic and nonlinearity of the error term sequence, and capture the asymmetric volatility. Therefore, analytical results of the ANNS option-pricing model reveal that Grey-EGARCH volatility provides greater predictability than other volatility approaches." @default.
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• W2013939740 date "2008-05-01" @default.
• W2013939740 modified "2023-10-14" @default.
• W2013939740 title "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices" @default.
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• W2013939740 doi "https://doi.org/10.1016/j.physa.2008.01.074" @default.
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