Results 31 to 40 of about 724,352 (288)
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 Volatility of the “Green” Option-Adjusted Spread: Evidence before and during the Pandemic Period
Risks, 2022 The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period.
Alessandra Ortolano, Eugenia Nissi
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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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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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Agriculture, 2022 The volatility of meat prices affects the accessibility and even food security of some consumers in Turkey. This study analyses the prices of selected livestock and a major feed component, wheat, as well as the exchange rate of the domestic currency in ...
Faruk Urak +4 more
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Vast volatility matrix estimation for high-frequency financial data [PDF]
, 2010 High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility.
Wang, Yazhen, Zou, Jian
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Stochastic Volatility of Volatility in Continuous Time
SSRN Electronic Journal, 2009 This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data.
Barndorff-Nielsen, Ole, Veraart, Almut
openaire +2 more sources
Catecholaminergic modulation of meta-learning
eLife, 2019 The remarkable expedience of human learning is thought to be underpinned by meta-learning, whereby slow accumulative learning processes are rapidly adjusted to the current learning environment. To date, the neurobiological implementation of meta-learning
Jennifer L Cook +6 more
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Development of high-frequency volatility estimators in pricing and trading stock options
π-Economy, 2022 Asset return volatility plays a key role in derivative pricing and hedging, risk management and portfolio allocation decisions. This study examined the economic benefit of high-frequency volatility estimators (measures realized) in option pricing and ...
Gayomey John, Zaytsev Andrey
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Economics and Business Review, 2020 The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor.
Latoszek Michał, Ślepaczuk Robert
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