Results 31 to 40 of about 9,634 (299)
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Credit-implied forward volatility and volatility expectations
Finance Research Letters, 2016 AbstractWe show how one can back out implied forward volatility term structures from credit default swap spreads. Such forward stock volatility term structures are useful for instance in forward start option pricing. We find the term structure to be downward-sloping, and the credit market's volatility forecasts tend to vary more across time than across
openaire +2 more sources
Energies, 2022 In this empirical study, multifactor stochastic volatility models for the financial Nordic/Baltic power markets are developed, implemented, and analyzed.
Per Bjarte Solibakke
doaj +1 more source
On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
doaj +1 more source
Risks, 2021 Under the impact of both increasing credit pressure and low economic returns characterizing developed countries, investment levels have decreased over recent years.
Luca Di Persio +2 more
doaj +1 more source
A Nonparametric Analysis of the Forward Rate Volatilities [PDF]
SSRN Electronic Journal, 1999 Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of interest rates which nests most other models as special cases. In their framework, the dynamics of the term structure and the prices of derivative instruments depend only upon the initial term structure and the forward rate volatility functions.
Neil D. Pearson, Anjun Zhou
openaire +1 more source
Energies, 2019 The joint uncertainties of wholesale price and end-user demand quantity often poses huge pricing challenges to energy retailers. However, the literature lacks analysis of such uncertainties’ impacts on retailer pricing behaviors and possible ...
Haitao Xiang +3 more
doaj +1 more source
FEBS Letters, EarlyView.The Ile181Asn variant of human UDP‐xylose synthase (hUXS1), associated with a short‐stature genetic syndrome, has previously been reported as inactive. Our findings demonstrate that Ile181Asn‐hUXS1 retains catalytic activity similar to the wild‐type but exhibits reduced stability, a looser oligomeric state, and an increased tendency to precipitate ...
Tuo Li +2 more
wiley +1 more source