Results 21 to 30 of about 607,096 (294)
Modeling Electricity Price Dynamics Using Flexible Distributions
Mathematics, 2022 We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time.
Sherzod N. Tashpulatov
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The Reactive Volatility Model [PDF]
, 2013 We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations.
Aboura, Sofiane +3 more
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The correlation and volatility between bitcoin and the blockchain index
International Journal of Crowd Science, 2020 PurposeThe encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular.
Tuotuo Qi +3 more
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Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [PDF]
, 2013 We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.
Antonakakis, N. +2 more
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Volatility of volatility of financial markets [PDF]
Mathematical and Computer Modelling, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Ingber, J.K. Wilson
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COMPARATIVE ANALYSIS OF VOLATILITY OF CRYPTOCURRENCIES AND FIAT MONEY
Финансы: теория и практика, 2018 The article provides a comparative analysis of the volatility of the leading national fiat currencies and their transnational anonymous analogues, which received the slang name “cryptocurrency”.Volatility is the most important financial indicator in the ...
G. O. Krylov +2 more
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Modeling and Forecasting the Volatility of Returns in the Infrastructure Sector in Emerging Markets [PDF]
Eurasian Journal of Business and Economics, 2020 Understanding the volatility behaviour of specific sectors of the economy enables investors to formulate workable investment strategies, and policy-makers to formulate policies that dampen excess volatility. This study examined the volatility features
Rabson MAGWEVA, Mabutho SIBANDA
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market [PDF]
, 2002 Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as ...
Claessen, Holger, Mittnik, Stefan
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From volatility smiles to the volatility of volatility [PDF]
Decisions in Economics and Finance, 2019 The authors review models of the option surface and reduced-form models for stochastic volatility in continuous time, under the risk-neutral measure. They introduce ``forward volatilities'' (in analogy with forward interest rates in the term structure theory), and prove that such objects are conditional expected values, under the risk-neutral measure ...
Dumas B., Luciano E.
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Volatility Options in Rough Volatility Models [PDF]
SSRN Electronic Journal, 2018 We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process.
Blanka Horvath +2 more
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