Results 11 to 20 of about 9,678 (267)
Journal of Agricultural and Resource Economics, 2006 Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals.
Thorsten M. Egelkraut, Philip Garcia
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Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
Revista de Contabilidad: Spanish Accounting Review, 2019 The purpose of this paper is to investigate whether forward-looking disclosures and corporate reputation lead to a reduction in stock return volatility. This study measures financial forward-looking information, by conducting a content analysis of annual
Francisco Bravo Urquiza
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Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Barski, Michał, Zabczyk, Jerzy
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Forward/forward volatilities and the term structure of implied volatility
Applied Economics Letters, 1997 Forward/forward volatility derived from options' implied volatilities is a measure of the market's expectation of future volatility. We examine the factors affecting forward/forward volatility and present evidence of its predictive performance based on FTSE100 index options.
Owain Ap Gwilym, Mike Buckle
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Volatility spillover and hedging strategies between the European carbon emissions and energy markets
Energy Strategy Reviews, 2023 Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration.
Jian Liu +3 more
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OFFSHORE AND ONSHORE IDR MARKET: EVIDENCE ON INFORMATION SPILLOVER
Buletin Ekonomi Moneter dan Perbankan, 2012 This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011,
Yayat Cadarajat, Alexander Lubis
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OFFSHORE AND ONSHORE IDR MARKET: AN EVIDENCE ON INFORMATION SPILLOVER
Buletin Ekonomi Moneter dan Perbankan, 2012 This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011,
Yayat Cadarajat, Alexander Lubis
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Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward Markets [PDF]
SSRN Electronic Journal, 2008 Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify ...
Le Pen, Yannick, Sévi, Benoît
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The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?
Borsa Istanbul Review, 2015 The paper aims to examine implied volatility as the investor fear gauge or/and forward-looking expectation of future stock market volatility within emerging markets setting-India VIX. The earliest results evidenced that VIX is the gauge of investor fear,
Imlak Shaikh, Puja Padhi
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EnergiesAccurately forecasting crude oil prices is crucial due to its vital role in the industrial economy. In this study, we explored the multifaceted impact of various financial, economic, and political factors on the forecasting of crude oil forward prices ...
Hyeon-Seok Kim +2 more
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