Results 11 to 20 of about 505,642 (295)
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence [PDF]
SSRN Electronic Journal, 2021 We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is based on an observation-driven time series model that is simple and parsimonious.
Blasques, Francisco +2 more
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Path-Conditional Forward Volatility [PDF]
SSRN Electronic Journal, 2006 In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local ...
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Analyzing the Causal Relations between Trading Volume and Stock Returns and between Trading Volume and Return Volatility in Tehran Stock Exchange [PDF]
Iranian Journal of Finance, 1999 Identifying the causal relations between trading volume and stock returns and between trading volume and return volatility plays a vital role in identifying profitable investment opportunities.
Mohammad Reza Rostami +2 more
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility [PDF]
Journal of Econometrics, 2001 We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated
Bollerslev, T, Zhou, H
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Cogent Economics & Finance, 2023 This study examines the impact of political instability on inflation volatility in the Middle East and North Africa (MENA) region. First, it analyzes the multidimensionality of political instability by adopting a factor analysis technique and finds five ...
Afnan Ghanayem +2 more
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The conditional volatility premium on currency portfolios [PDF]
Journal of International Financial Markets, Institutions and Money, 2021 Our paper examines conditional risk-return relations in a number of currency investment strategies, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk for most currency portfolios.
Byrne, Joseph P., Sakemoto, Ryuta
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Conditional Volatility, Skewness and Kurtosis: Existence and Persistence [PDF]
, 2001 Recent portfolio choice, asset pricing, and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations, they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a conditional generalized-t distribution for residuals.
Eric Jondeau, Georg Michael Rockinger
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Economies, 2018 This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
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Negative volatility spillovers in the unrestricted ECCC-GARCH model [PDF]
, 2010 Copyright @ 2010 Cambridge University Press.This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model that allows for volatility feedback of either the positive or negative sign.
Karanasos, Menelaos +3 more
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Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns [PDF]
Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets.
Roengchai Tansuchat +3 more
core +6 more sources