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Annals of Economics and Finance, 2008 The asymmetric nature of the volatility response to return shocks could simply reflect the existence of time-varying risk premiums. This study proposes a stochastic volatility process allowing for time-varying correlation with underlying returns, in which the market price of volatility risk is naturally taken into account.
Yueh-Neng Lin, Ken Hung
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2018
In the late 2000s global prices spiked. Many governments, in particular in developing and emerging countries, intervened to reduce the effect of the global food price spikes, trying to insulate the domestic market. This chapter first discusses the costs and benefits of price stabilization through government policy and then discusses political economy ...
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In the late 2000s global prices spiked. Many governments, in particular in developing and emerging countries, intervened to reduce the effect of the global food price spikes, trying to insulate the domestic market. This chapter first discusses the costs and benefits of price stabilization through government policy and then discusses political economy ...
openaire +1 more source
Volatility Estimation with Price Quanta
Mathematical Finance, 1998Volatility estimators based on high, low, opening and closing prices have been developed, and perform well on simulated data, but on real data they frequently give lower values for volatility than the simple open–close estimator. This may be due to the fact that for real data, the maximum (or minimum) price is often at the beginning or end of the day ...
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Pricing derivatives with fractional volatility
International Journal of Financial Engineering, 2016This paper studies the effect of fractional volatility on path-dependent options, which are highly sensitive to the volatility structure of a targeted underlying asset process. To this end, we propose an approximation formula for average and barrier options when volatility follows a fractional Brownian motion. Furthermore, using the analytical formula,
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Option Pricing Using Realized Volatility
SSRN Electronic Journal, 2008In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns.
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2011
High and volatile commodity prices have returned as a significant global issue, with the prices of many commodities returning to around their mid-2008 peaks. This paper provides an overview of the fundamental drivers of recent price trends and considers the role played by financial speculation in commodity price formation.
Will Devlin, Sarah Woods, Brendan Coates
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High and volatile commodity prices have returned as a significant global issue, with the prices of many commodities returning to around their mid-2008 peaks. This paper provides an overview of the fundamental drivers of recent price trends and considers the role played by financial speculation in commodity price formation.
Will Devlin, Sarah Woods, Brendan Coates
openaire +1 more source
Testing the fluctuations of oil resource price volatility: A hurdle for economic recovery
Resources Policy, 2022Muhammad Umair
exaly
A closer look into the global determinants of oil price volatility
Energy Economics, 2021Ioannis Chatziantoniou +2 more
exaly