Results 271 to 280 of about 380,620 (306)

On the distribution of market volatility

East African Journal of Statistics, 2007
In the derivation of the celebrated Black-Scholes-Merton Option Price Model, volatility is assumed to be constant. Recent studies have shown that this is not always the case. Estimation of volatility has occupied most of the researchers' time and many estimation models have been developed. We introduce a moving-window method to find the distribution of
openaire   +2 more sources

The Persistence of Volatility and Stock Market Fluctuations [PDF]

American Economic Review, 1984
This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility ...
Poterba, James M, Summers, Lawrence H
openaire  

Is Volatility the Best Predictor of Market Crashes?

Asia-Pacific Financial Markets, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

Modeling the volatility of Asian REIT markets

Pacific Rim Property Research Journal, 2016
This paper analyzed the volatility behavior of Asian real estate investment trust (REIT) markets. The autoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample forecasting test.
Loo, Wei Kang, Ahmad Anuar, Melati, Ramakrishnan, Suresh   +2 more
openaire   +2 more sources

Management of Volatility in the Grain Market

2012
Food prices have steadily risen since the 1990s, and price were especially volatile in the years 2008 and 2010. This trend has also been reflected in the European grain market, which presents all European companies along the food value chain with new challenges.
Guenther-Luebbers, Welf, Henke, Soren, Theuvsen, Ludwig, Guenther-Luebbers, Welf, Henke, Soren, Theuvsen, Ludwig   +5 more
openaire   +3 more sources

The Causes (and Cures?) of Market Volatility

The Journal of Portfolio Management, 1976
T he first part of this article is factual. The second part, an unorthodox and controversial view of the role institutions might well play in the stock market of the future, may be viewed by some as fictional. The main point is that the stock market has become increasingly volatile, largely as a consequence of rising institutional participation.
openaire   +1 more source

Modelling the asymmetry of stock market volatility

Applied Financial Economics, 1998
Recent studies suggest that a negative shock to stock prices will generate more volatility than a positive shock of equal magnitude. This paper uses daily data from the Hong Kong Stock Exchange to illustrate the nature of stock market volatility. Regression-based tests for integration in variance are applied, providing contrasting results to the usual ...
openaire   +1 more source

ANALYSIS OF THE ROMANIAN CAPITAL MARKET VOLATILITY

Theoretical and Applied Economics, 2009
The increasing availability of financial market data at intraday frequencies has led to the development of improved ex-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to ...
Bogdan Dima, Flavia Barna, Petru-Ovidiu Mura   +2 more
openaire  

Volatility estimates of the Vienna stock market

Applied Financial Economics, 1994
This paper presents volatility estimates of the Vienna stock market index using traditional methods and GARCH models. Evidence for a nonstationary variance process is found that compares well to volatility series of other markets. It is concluded that an institutional change on the Vienna market contributes to this property but does not completely ...
openaire   +2 more sources

Volatility and the Regulation of Stock Markets

2016
In recent years, one of the most important topics related to stock market volatility which is attracting attention, is stock returns, or in other words, the relationship between stock price volatility and trading volume. The aim of this study was to obtain information about the financial market structure of Bangladesh, India, Pakistan by applying ...
openaire   +1 more source