Results 321 to 330 of about 2,187,371 (360)
Some of the next articles are maybe not open access.
Volatility, Intermediaries, and Exchange Rates
Journal of Financial Economics, 2020This paper studies how financial market volatility drives exchange rates through the risk management practice of financial intermediaries. We build a model in which the major participants in the international financial market are levered intermediaries ...
Xiang Fang, Y. Liu
semanticscholar +1 more source
Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations
SSRN Electronic Journal, 2016Ahead of the 23rd June UK referendum on "Brexit", this note provides a technique for estimating the Forward (at referendum date) At The Money Forward (ATMF) implied volatility for equity or FX Indexes. We provide a closed form formula for the forward underlying expected moves (for short terms maturities) post the referendum date.
openaire +2 more sources
Irregularities in Forward-Looking Volatility
Quarterly Review of Economics and Finance, 2022Mahmoud Qadan, Doron Nisani, Ron Eichel
semanticscholar +1 more source
Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
Journal of futures markets, 2021Yanping Zhao, Zaghum Umar, Xuan vinh Vo
semanticscholar +1 more source
News Implied Volatility and Disaster Concerns
, 2015We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial ...
Asaf Manela, Alan Moreira
semanticscholar +1 more source
Pricing Electricity Forwards Under Stochastic Volatility
SSRN Electronic Journal, 2001Based 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.
openaire +2 more sources
Spread and volatility in spot and forward exchange rates
Journal of International Money and Finance, 1994Abstract 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 ...
openaire +2 more sources
Collars, Prepaid Forwards, and the DLOM: Volatility Is the Missing Link
Business Valuation Review, 2015The 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
openaire +2 more sources
TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
Mathematical Finance, 2010This 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.
openaire +2 more sources
Forecasting Spot Price Volatility Using the Short-Term Forward Curve
, 2010We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility.
Erik Haugom, C. Ullrich
semanticscholar +1 more source