Results 221 to 230 of about 22,228 (264)
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Bond Market Volatility Compared to Stock Market Volatility
The Journal of Portfolio Management, 2000The high volatility of rates of returns on bonds during the 1980s received a great deal of attention because it is readily acknowledged that bond return volatility is critical to the analysis and management of bonds. Yet there has been no detailed analysis of bond market volatility for the pre–1980 period that would allow the experience during the ...
Frank K. Reilly +2 more
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Volatility discovery in cryptocurrency markets
The Journal of Risk Finance, 2020PurposeCryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market.Design/methodology/approachThe paper extracts each of the cryptocurrency's ...
Thomas Dimpfl, Dalia Elshiaty
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Incomplete Markets and Volatility
SSRN Electronic Journal, 1998This paper shows that the precautionary motive, combined with asset incompleteness, is a major source of volatility and indeterminacy in financial markets. Price fluctuations originate from agents' efforts to insure themselves through time by borrowing and lending instead of shifting income across states of nature by trading risky assets.
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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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An analysis of firm and market volatility [PDF]
Economic Systems, 2011 In this paper, using time series data for the period 2 January to1998 to 31 December 2008, for 560 firms listed on the NYSE, we examine whether firm volatility is related to market volatility. The main contribution of this paper is that we develop the analytical framework motivating the firm-market volatility relationship. We unravel three new findings
Susan Sunila Sharma +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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Strategic Pricing in Volatile Markets
SSRN Electronic Journal, 2018Dynamic Strategic Pricing Firms use pricing strategically to influence entry and exit of competitors. A key form of strategic pricing is limit pricing, whereby a market incumbent sets low prices to deter a potential entrant. In practice, strategic pricing takes place in dynamic, stochastic environments: An incumbent that uses prices to signal ...
Sebastian Gryglewicz, Aaron Kolb
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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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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.
openaire +1 more source