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Constructing volatility surfaces for managed funds [PDF]
, 2014 Includes bibliographical referencesIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014).
Brinkman, Trevor Joseph
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The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation
International Journal of Financial Studies, 2018 Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield—which was previously
David G. McMillan
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The Role of Relative Price Volatility in the Efficiency of Investment Allocation [PDF]
SSRN Electronic Journal, 2010 This paper estimates the impact of relative price volatility on sector-level investment allocation using a panel of 65 countries with data for 26 manufacturing industries over the period 1985-2003. Results indicate that volatility distorts efficient investment allocation in that investment is not necessarily devoted to relatively more productive ...
Eduardo A. Cavallo +3 more
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Causality between stock market and “fear gauge” indices: An empirical analysis with E-statistics
Applied Finance Letters, 2018 This study investigates empirically the validity of three hypotheses that have been advanced to explain the tendency of stock market and volatility indices to move in opposite directions, using the notion of Brownian distance correlation.
Panos Fousekis, Vasilis Grigoriadis
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Thiocyanate Based Task-specific Ionic Liquids for Separation of Benzene and Cyclohexane
Chemical Engineering Transactions, 2013 Separation of benzene and cyclohexane is one of the most important processes in the petrochemical industry. However, due to their close boiling points and azeotrope formation, it is difficult to separate cyclohexane and benzene by conventional ...
G. Gonfa +4 more
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BeveragesFruit brandy equipment commonly uses partial condensation (dephlegmation) to generate reflux in the distillation column. Here, we examined the effect of dephlegmation on the composition of fruit brandies in both lab-scale and large-scale settings. In lab-
Manami Yagishita +4 more
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Economies, 2021 In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and
Hassan Zada +2 more
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Relative Price Volatility: What Role Does the Border Play [PDF]
International Finance Discussion Papers, 1998 We reexamine the effect of the U.S.-Canadian border on integration of markets. The paper updates work from our earlier paper, Engel and Rogers (1996). We consider alternative measures of deviations from the law of one price. We pay special attention to the effect of the U.S.-Canada free trade agreement on market integration.
Charles Engel, John H. Rogers
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Global economic policy uncertainty and stock volatility: evidence from emerging economies
Journal of Applied Economics, 2021 We investigate the impact of the global economic policy uncertainty (GEPU) on stock volatility for nine emerging economies (Brazil, Russia, India, China, South Africa, Mexico, Indonesia, South Korea, and Turkey).
Xiaoling Yu, Yirong Huang, Kaitian Xiao
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Relative Implied-Volatility Arbitrage with Index Options [PDF]
Financial Analysts Journal, 2002 We investigate statistical arbitrage strategies for index options. To test the efficiency of markets in pricing relative implied volatilities in highly correlated markets, U.S. stock indices for which listed options are available are matched into pairs according to their degree of correlation.
Ammann, Manuel, Herriger, Silvan
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