Results 31 to 40 of about 231,323 (314)
Good Volatility, Bad Volatility and Option Pricing [PDF]
SSRN Electronic Journal, 2016 Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the
Feunou, Bruno, Okou, Cédric
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Volatility Modeling and Dependence Structure of ESG and Conventional Investments
Risks, 2022 The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature.
Joanna Górka, Katarzyna Kuziak
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Concentration and Liquidity Costs in Emerging Commodity Exchanges
Journal of Agricultural and Resource Economics, 2018 We analyze the relationships among liquidity costs, volume, and volatility in the Brazilian agricultural futures market, along with the role of market concentration.
Geraldo Jr. Costa +2 more
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Future Internet, 2022 Forecasting the risk factor of the financial frontier markets has always been a very challenging task. Unlike an emerging market, a frontier market has a missing parameter named “volatility”, which indicates the market’s risk and as a result of the ...
Mst. Shapna Akter +3 more
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Current Biology, 2010 Plant volatiles are the metabolites that plants release into the air. The quantities released are not trivial. Almost one-fifth of the atmospheric CO2 fixed by land plants is released back into the air each day as volatiles. Plants are champion synthetic chemists; they take advantage of their anabolic prowess to produce volatiles, which they use to ...
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SSRN Electronic Journal, 2014 Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale.
Gatheral, Jim +2 more
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Investigation of forecasted risk interrelationship: base on GARCH model, causality in China markets
Journal of Business Economics and Management, 2014 This paper used data from the Shenzhen and Shanghai stock markets to simulate the adjusted volatility, and applied time series methods to realize the relationships of the volatilities between the two markets.
Shu-Shian Lin
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RAC: Revista de Administração Contemporânea, 2020 Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R.
Marcelo Scherer Perlin +3 more
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Modeling the Price Volatility of Cassava Chips in Thailand: Evidence from Bayesian GARCH-X Estimates
Economies, 2021 Thailand is a significant global exporter of cassava, of which cassava chips are the main export products. Moreover, China was the most important export market for Thailand from 2000 to 2020.
Jittima Singvejsakul +2 more
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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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