Results 21 to 30 of about 727,591 (368)
The Review of Economic Studies, 2017 We document that in the US over the course of the past century there has been a systematic negative relation between household wealth and business cycle volatility. We develop a microfounded dynamic equilibrium model that contains elements of a traditional Keynesian framework in which economic uctuations can be driven by sunspot-type uctuations in ...
Heathcote, Jonathan, Perri, Fabrizio
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Volatility and arbitrage [PDF]
The Annals of Applied Probability, 2018 The capitalization-weighted total relative variation $\sum_{i=1}^d \int_0^\cdot _i (t) \mathrm{d} \langle \log _i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $ _i (\cdot)$ is an observable and nondecreasing function of time.
Fernholz, E. Robert +2 more
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Local Volatility of Volatility for the VIX Market [PDF]
SSRN Electronic Journal, 2011 ISSN:1380 ...
Walter Farkas +2 more
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KAJIAN MODEL HIDDEN MARKOV UNTUK MENDUGA VOLATILITAS INDEKS HARGA SAHAM
Prima: Jurnal Pendidikan Matematika, 2019 Abstrak Volatility is a measure of uncertainty. Volatility can either be measured by using the standard deviation or variance between returns. The problem is volatility is unobservable, and estimating volatility is not a trivial task.
Abdul Baist
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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.
Peter Tankov +3 more
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Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 Bu çalışmanın konusunu, pay senedi endeks vadeli işlemlerinin, pay senedi endeksleri üzerindeki volatilite etkisinin analizi oluşturmaktadır. Bu çalışma, endeks vadeli işlemlerin, spot endeksler üzerindeki volatilite etkisinin yönünü tespit etmeyi ...
Mehmet Eraslan, Selahattin Koç
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Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange [PDF]
SHS Web of Conferences, 2021 The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e.
Emad Azhar Ali Syed +2 more
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
, 1993 The authors find support for a negative relation between conditional expected monthly return and conditional variance of monthly return using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations ...
L. Glosten, R. Jagannathan, D. Runkle
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A simple joint model for returns, volatility and volatility of volatility
Journal of Econometrics, 2023 Abstract We propose a model that allows for conditional heteroskedasticity in the volatility of asset returns and incorporates current return information into the volatility nowcast and forecast. Our model can capture all stylised facts of asset returns even with Gaussian innovations and is simple to implement.
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Uncertainty and Cognitive Control
Frontiers in Psychology, 2011 A growing trend of neuroimaging, behavioural and computational research has investigated the topic of outcome uncertainty in decision-making. Although evidence to date indicates that humans are very effective in learning to adapt to uncertain situations,
Faisal eMushtaq +2 more
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