Results 111 to 120 of about 190,252 (236)
Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures [PDF]
This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005.
Colavecchio , Roberta, Funke, Michael
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The forward smile in local–stochastic volatility models
, 2016 Andrea Mazzon, Andrea Pascucci
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Time-Varying Volatility and the Dynamic Behavior of the Term Structure [PDF]
In this paper, we consider a framework with which the cross sectional and time series behavior of the yield curve can be studied simultaneously. We examine the relationship between the yield curve and the time-varying conditional volatility of the ...
Robert F. Engle, Victor K. Ng
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Volatility Dependence Across Asia-Pacific Onshore and Offshore Currency Forwards Markets
, 2009 Roberta Colavecchio, Michael Funke
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Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets [PDF]
, 2013 Fred Espen Benth, Linda Vos
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Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off [PDF]
Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process.
Glen Donaldson, Mark Kamstra
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A Relationship Between Regression Tests and Volatility Tests of Market ncy [PDF]
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is taken to be.
James H. Stock, Jeffrey A. Frankel
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Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics [PDF]
We investigate the existence of affine realizations for interest rate term structure models driven by Levy processes. Using as numeraire the growth optimal portfolio, we model the interest rate term structure under the real-world probability measure, and
Eckhard Platen, Stefan Tappe
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