Results 21 to 30 of about 190,252 (236)
The Effect of Electricity Forward Contracts Trading in the Energy Exchange on the Volatility of Spot Prices in Iran Electricity Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2015 Iran Energy Exchange started to work on 03/09/2013. Electricity trading is carried out within the framework of forward contracts in this exchange.
Mehran Kianvand, Asadollah Farzinvash
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An Examination of Forward Volatility [PDF]
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005 This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities. As a general proposition we are interested in discovering possible features and rules-of-thumb for the applicability of p.c. techniques. In particular, what accuracy does one
Ray Popovic, David Goldsman
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Jurnal Ilmiah Akuntansi dan Bisnis, 2020 This study aims to investigate the role of forward contract hedging in maintaining volatility cash flow and growth opportunity and its impact on investor reaction.
Hartono Hartono +2 more
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Forecasting the Worst: Is Implied Volatility Forward-Looking Enough?
Paola De Vincentiis, Carlo Confalonieri
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A Nonlinear Analysis of Forward Premium and Volatility [PDF]
Studies in Nonlinear Dynamics & Econometrics, 1997 In this paper we investigate the relationship between risk premium and a time-varying conditional variance of spot rate using weekly Swiss franc/US dollar exchange-rate data. First, we apply an EGARCH-in-mean framework to test the unbiasedness hypothesis of the forward rate with a volatility dependent risk premium.
Hsu, Chiente, Kugler, Peter
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Electronic Research Archive, 2022 In this paper, we propose an adaptive neural network surrogate method to solve the implied volatility of American put options, respectively. For the forward problem, we give the linear complementarity problem of the American put option, which can be ...
Yiyuan Qian +3 more
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Spot and forward volatility in foreign exchange [PDF]
Journal of Financial Economics, 2011 This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates.
Lucio Sarno +4 more
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Forward rate models with linear volatilities [PDF]
Finance and Stochastics, 2011 21 pages.
Michał Barski +2 more
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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.
Mike Buckle, Owain ap Gwilym
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Determinants of the Forward Premium in the Nord Pool Electricity Market
Energies, 2020 Nord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency.
Erik Haugom +2 more
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