Results 251 to 260 of about 450,166 (309)

Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter?

Journal of Futures Markets, 2013
This study investigates the volatility forecasting abilities of return‐based and range‐based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial applications in risk management and option pricing.
Jiang, I-Ming   +2 more
openaire   +1 more source

Implications of exchange rate volatility for trade: Volatility measurement matters

Review of International Economics, 2021
AbstractThe relationship between exchange rate volatility and trade is inconclusive in the current literature. I find evidence this is due to variation in definitions of exchange rate volatility. My results suggest common volatility measures weigh variation differently over time and economic conditions.
openaire   +1 more source

CORRELATION FOR ESTIMATING VOLATILE MATTER OF COALS

Chemical Engineering Communications, 2001
Abstract A set of 460 Indian coal samples has been used to establish correlations between volatile matter percentage yield (%VMdmmr) and compositional parameters, such as the weight percentages of Carbon (Cw), Hydrogen (Hw) and Oxygen (Ow); atomic ratios of the H/C, O/C and H/C; and atomic percentages of Carbon (Ca), Hydrogen (Ha) and Oxygen (Oa ...
K.P. Singh, M.C. Kakati
openaire   +1 more source

Disposition Matters [PDF]

open access: possibleThe Journal of Trading, 2008
The disposition effect is the well-known tendency to ride losers and sell winners. A panel of individual investor trading records allows examination of the differences in price, volume, and volatility attributable to the disposition effect. When disposition-prone investors increase their holdings in a stock, the volatility, volume, and the return of ...
William N. Goetzmann, Massimo Massa
openaire   +6 more sources

Exchange rate volatility: Does politics matter?

Journal of Macroeconomics, 1998
We examine the weekly volatility of the Japanese Yen, British Pound, German Mark and Canadian Dollar relative to the U.S. Dollar through five recent U.S. presidential terms. Our EGARCH-M model adds several new findings to the literature. Our results suggest that: 1) the volatility of all four exchange rates is impacted by either the year in the ...
Bento J. Lobo, David Tufte
openaire   +1 more source

Volatility forecasting: the jumps do matter [PDF]

open access: possible, 2008
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we introduce the concept of threshold multipower variation (TMPV)
Fulvio Corsi   +2 more
openaire   +1 more source

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