Results 11 to 20 of about 187,018 (291)
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility [PDF]
Risks, 2020 We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for the
Moawia Alghalith +2 more
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THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY [PDF]
International Journal of Theoretical and Applied Finance, 2023 The question of the volatility roughness is interpreted in the framework of a data-reconstructed fractional volatility model, where volatility is driven by fractional noise. Some examples are worked out and, using the Malliavin calculus for fractional processes, an option pricing equation and its solution are obtained.
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Impact of COVID-19 on Stock Market and Gold Returns in India [PDF]
Eurasian Journal of Business and Economics, 2021 The spread of COVID-19 has caused severe damage to human lives and the global economy. The stock markets around the world have plummeted to their lowest levels since the 2008 Global Financial Crisis.
Sarika MAHAJAN, Priya MAHAJAN
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Challenges of integrated variance estimation in emerging stock markets [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Estimating integrated variance, using high frequency data, requires modelling experience and data crunching skills. Although intraday returns have attracted much attention in recent years, handling these data is challenging because of their ...
Josip Arnerić, Mario Matković
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The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
Cogent Business & Management, 2021 The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures).
Nenavath Sreenu, K.S. S. Rao, Kishan D
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Analysis of meat price volatility and volatility spillovers in Finland
Agricultural Economics (AGRICECON), 2020 Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products.
Marwa Ben Abdallah +2 more
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Cogent Economics & Finance, 2021 This paper primarily aims at examining the impact of dividend policy on stock price volatility of industrial firms listed in the Dar es Salaam Stock Exchange employing data collected from audited published financial statements for the period 2009–2019 ...
Josephat Lotto
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The Effects of Institutional Investors Herding on the Performance of Iran Capial Market Anomalies [PDF]
فصلنامه بورس اوراق بهادار, 2022 Anomalies in financial markets, which is produced and exacerbated by sensitive and imitative behavior and reduces market efficiency, have always been the focus of researchers. In this research, a criterion for measuring the mass turnover of institutional
mohammad hassan ebrahimi sarveolia +3 more
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Optimal Setting for Hurst Index Estimation and Its Application in Chinese Stock Market
IEEE Access, 2021 The Hurst index is widely used to describe the long memory process of time series in economics, finance, and other fields. The setting for Hurst index estimation has not been thoroughly investigated by current literature.
Liang Ding +3 more
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Modeling Value at Risk of Futures Contract of Bahar Azadi Gold Coin with Considering the Historical Memory in Observations Application of FIAPARCH-CHUNG Models [PDF]
Journal of Asset Management and Financing, 2020 Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets, thus it is largely used in controlling and predicting a wide variety of risks such as market, credit, and financial risks.
Mojtaba Biek Khormizi, Meysam Rafei
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