Results 231 to 240 of about 22,228 (264)

Tracking volatility (stock markets)

Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187), 2002
Concerns 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, Robert Sh. Liptser, Boris Rozovskii   +2 more
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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, Paolo Angelini, Giuseppe Grande, Aviram Levy, Roberto Perli, Pinar Yesin, Stefan Gerlach, Srichander Ramaswamy, Michela Scatigna   +8 more
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Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective

Global Economic Review, 2015
AbstractEstimating 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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Market volatility

Long Range Planning, 1991
Kenneth D. West, Robert J. Shiller
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The Volatility Effect in Emerging Markets

SSRN Electronic Journal, 2012
We 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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Volatility and efficiency in markets with friction

2010 48th Annual Allerton Conference on Communication, Control, and Computing (Allerton), 2010
We consider a game theoretic model where multiple suppliers and consumers interact continuously by setting prices in a dynamic market with friction. Using stochastic differential equations to model the dynamics with friction, we investigate the equilibrium, and analyze the efficiency of the market under an integrated expected cost function.
Arman C. Kizilkale, Shie Mannor
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Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets

Journal of Forecasting
ABSTRACTIn this paper, we investigate whether the bond markets contain important information that can improve the accuracy of stock market volatility forecasts in China. We use realized volatility (RV) implemented by different maturity treasury bond futures contracts to predict the Chinese stock market volatility. Our work is based on the heterogeneous
Likun Lei, Mengxi He, Yi Zhang, Yaojie Zhang   +3 more
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Forecasting Stock Market Volatility Using Implied Volatility

2007 American Control Conference, 2007
We explored the firm-level forecasting power of implied volatility on realized volatility over various horizons. All existing literatures focused on examining forecasting power over the remaining life of options. We built a linear regression model using implied volatility series to forecast future volatility of various horizons.
Peng He, Stephen Shing-Toung Yau
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Volatility discovery and volatility quoting on markets for options and warrants

Journal of Futures Markets, 2017
In several countries, classical options markets coexist with markets for bank‐issued options (warrants) that are sold to retail investors. An interesting question in such cases is whether these bank‐issued options merely reflect the options market information about future volatility or whether they themselves contribute to volatility discovery. We find
Rainer Baule, Bart Frijns, Milena E. Tieves   +2 more
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The Volatility of Stock Market Prices

Science, 1987
If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are ...
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