HİSSE SENEDİ PİYASALARINDA GETİRİ VE VOLATİLİTE YAYILIMI: 1996’DAN BUGÜNE BİR LİTERATÜR TARAMASI
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2014 Globalleşen dünyada finansal sınırların kalkmasıyla birlikte uluslararası yatırımlar artmış ve dünya piyasaları birbirlerini hem etkilemiş hem de birbirlerinden etkilenmişlerdir.
Samet Gürsoy, Arife Özdemir
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Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab [PDF]
Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable.
Francois-Éric Racicot, Raymond Théoret
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Reverse currency substitution process and exchange rate volatility: the Turkish case [PDF]
, 2009 Teorik ve ampirik literatür, para ikamesinin döviz kurundaki oynaklığı ve bu oynaklığın da para talebini anlamlı düzeyde etkilediğini göstermektedir. Bu çalışmanın amacı, son dönemde, tersine dönmeye başlayan para ikamesinin döviz kuru oynaklığına ve bu ...
Darıcı, Burak +2 more
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Expected maximum drawdown approach on portfolio selection: An examination on BIST100 – S&P500 [PDF]
, 2017 Çalışmada risk faktörü ölçümünde pratikte yatırım uzmanları ve fon yöneticileri tarafından sıklıkla kullanılan en yüksek düşme noktası (maximum drawdown-MDD) ölçütü kullanılmıştır.
Küçükşahin, Habib, Uyar, Umut
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Volatilite endeksleri, önemi ve Türkiye volatilite endeksi
, 2020 Within introducing of asset pricing models, the efforts that aim to measure risk and return in financial markets have raised. As result of those efforts, various measurement and forecast models for volatility which is a kind of risk measurement have been revealed. Besides historical, autoregressive conditional heteroskedastic and stochastic models that
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Robust bootstrap procedures for the chain-ladder method [PDF]
, 2017 Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic algorithm. To
Peremans, Kris +3 more
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Grouping Emerging Stock Markets Based on Market Data [PDF]
This paper uses cluster analysis, a multivariate statistical technique to classify emerging stock markets that have similarities into different groups.
M. Mete Doganay, Ramazan Aktas
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Taux de change d'équilibre et politiques économiques : Une approche contingente [PDF]
, 1950 Les théories du taux de change d’équilibre supposent que le taux de change réel d’équilibre (tcre) est indépendant de l’équilibre interne et des politiques économiques.
Bouveret, Antoine, Ducoudre, Bruno
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A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
, 2011 International audienceA new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already ...
Fliess, Michel +2 more
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Schéma de niveaux de 223Ra. I. Rayonnements γ émis dans la désintégration 227Th → 223Ra [PDF]
, 1969 Les transitions γ dans 223Ra ont été étudiées à l'aide de diodes Ge-Li en faisant appel à différents procédés de purification et de mesure afin de minimiser l'importance des six descendants radioactifs.
Briançon, Chantal, Walen, Robert
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