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Financial markets. The joy of volatility
Quantitative Finance, 2007Financial markets. The joy of volatility M. A. H. Dempster a; Igor V. Evstigneev b; Klaus Reiner Schenk-Hoppe c a Centre for Financial Research, Statistical Laboratory, University of Cambridge, Cambridge CB5 8AF, UK b Economic Studies, School of Social Sciences, University of Manchester, Manchester, M13 9PL, UK c School of Mathematics and Leeds ...
Dempster, M. A H +2 more
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Volatility in the gold futures market [PDF]
Applied Economics Letters, 2007 We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade using intraday (high frequency) data from January 1999 to December 2005. Apart from investigating the now familiar GARCH properties we also utilize a rarely used measure of volatility – the Garman Klass estimator – to provide new insights in ...
Batten, Jonathan Andrew, Lucey, Brian M.
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Business Strategy Review, 2007
The London Stock Exchange is one of an elite group of powerful, global financial exchanges that are in the midst of a transition. As listed companies, they now answer to shareholders and market users alike. The stakes are rising, and – says Bruce Weber– heated competition has replaced traditional loyalties among investors, brokerages and exchanges.
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The London Stock Exchange is one of an elite group of powerful, global financial exchanges that are in the midst of a transition. As listed companies, they now answer to shareholders and market users alike. The stakes are rising, and – says Bruce Weber– heated competition has replaced traditional loyalties among investors, brokerages and exchanges.
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Implied volatility in oil markets
Computational Statistics & Data Analysis, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Borovkova, S.A., Permana, F.J.
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Stock Market Structure and Volatility
Review of Financial Studies, 1990The procedure for opening stocks on the NYSE appears to affect price volatility. An analytical framework for assessing the magnitude of the structurally induced volatility is presented. The ratio of variance of open-to-open returns to closeto-close returns is shown to be consistently greater than one for NYSE common stocks during the period 1982 ...
Stoll, Hans R, Whaley, Robert E
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Tracking volatility (stock markets)
Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187), 2002Concerns nonlinear filtering of the volatility coefficient in a Black-Scholes type model that allows stochastic volatility. The asset price process S=(S/sub t/)/sub t/spl ges/0/ is given by dS/sub t/=rS/sub t/dt+/spl radic/v/sub t/S/sub t/dB/sub t/, where B=(B/sub t/)/sub t/spl ges/0/ is a Brownian motion and v/sub t/ is the (stochastic) volatility ...
Jaksa Cvitanic +2 more
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Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective
Global Economic Review, 2015AbstractEstimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990–2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon.
Pei Pei Tan, Don U.A. Galagedera
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The Recent Behaviour of Financial Markets Volatility [PDF]
SSRN Electronic Journal, 2006 A striking feature of financial markets behaviour in recent years has been the low level of price volatility over a wide range of financial assets and markets. The issue has drawn the attention of central bankers and financial regulators due to the potential implications for financial stability.
Fabio Panetta +8 more
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The Volatility Effect in Emerging Markets
SSRN Electronic Journal, 2012We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed equity markets. The volatility effect appears to be growing
David Blitz, Juan Pang, Pim van Vliet
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