Results 211 to 220 of about 190,252 (236)

Spread and volatility in spot and forward exchange rates

Journal of International Money and Finance, 1994
Abstract This paper is concerned with modeling the conditional heteroscedasticity of the prediction error of foreign exchange rates. As spot and forward rates are cointegrated we use a system of error correction models for mean prediction. To predict the variance we use a vibariate generalized autoregressive conditional heteroscedasticity (GARCH ...
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Pricing Electricity Forwards Under Stochastic Volatility

SSRN Electronic Journal, 2001
Based on the peculiarities of electricity as underlying commodity of forward contracts we develop a time-continuous pricing model for short-term electricity forwards. The suggested stochastic volatility model utilizes the non-tradeable spot price of electricity and its variance rate as state variables.
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Collars, Prepaid Forwards, and the DLOM: Volatility Is the Missing Link

Business Valuation Review, 2015
The variable prepaid forward (VPF) model assumes that a marketability restriction only costs the asset owner the time value of money during the restriction period. It does not fit the definition of the marketability discount. A put-option model is better suited for the discount for lack of marketability (DLOM) calculation.
John D. Finnerty, Rachael W. Park
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TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

Mathematical Finance, 2010
This paper investigates the multivariate support of forward Libor rates in the onefactor, constant volatilities Libor market model. The comparatively simple bivariate case was solved in Jamshidian (2008) in connection to the recent finding by Davis and Mataix-Pastor (2007) of positive probability of negative Libor rates in the swap market model.
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Trading volume and volatility in the shipping forward freight market

Transportation Research Part E: Logistics and Transportation Review, 2013
This paper investigates the price volatility and trading volume relationship in the forward freight agreement (FFA) market for dry bulk ships over the period 2007–2011. It is found that FFA price changes have a positive impact on trading volume, suggesting a momentum effect as higher capital gains encourage more transactions.
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The effect of oil and gas price and price volatility on rig activity in tight formations and OPEC strategy

Nature Energy, 2019
Robert K Kaufmann
exaly  

Better to give than to receive: Predictive directional measurement of volatility spillovers

International Journal of Forecasting, 2012
Kamil Yilmaz
exaly  

Estimation of the year-on-year volatility and the unpredictability of the United States energy system

Nature Energy, 2018
Evan D Sherwin, Max Henrion, Inês Lima Azevedo   +2 more
exaly  

The Cross-Section of Volatility and Expected Returns

Journal of Finance, 2006
Andrew Ang, Robert J Hodrick, Yuhang Xing   +2 more
exaly  

High idiosyncratic volatility and low returns: International and further U.S. evidence

Journal of Financial Economics, 2009
Robert J Hodrick, Yuhang Xing, Xiaoyan Zhang   +2 more
exaly