Results 31 to 40 of about 66,906 (266)
Erken Dönem Covid-19 Pandemisinin Avrupa Borsalarındaki Volatiliteye Etkisinin Araştırılması
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2022 Bu çalışmada, COVID-19 pandemisinin erken döneminde, Avrupa borsalarında yaşanan dalgalanmanın pandemi ile ilişkisinin kısa dönem için ortaya konulması amaçlanmıştır.
Bülent Yıldız
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İstanbul İktisat Dergisi, 2023 This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles ...
Utku Altunöz
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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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THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY
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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Financial stability — Unfinished business
Latin American Journal of Central BankingGlobal financial stability is critical for sustainable economic growth. The post-global financial crisis reform program strengthened the banking system, and, despite several shocks, the global economy and financial system appear relatively resilient. But
Richard Berner
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Uncertainty in perception and the Hierarchical Gaussian Filter
Frontiers in Human Neuroscience, 2014 In its full sense, perception rests on an agent’s model of how its sensory input comes about and the inferences it draws based on this model. These inferences are necessarily uncertain.
Christoph Daniel Mathys +15 more
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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
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Frontiers in Psychology, 2022 This study analyzed the sensitivity between fund flow and fund performance with Korean funds, whether there would be a difference in the sensitivity between environmental, social and governance (ESG) funds and non-ESG funds, and whether there was a ...
Dongchul Kwak, Yu Kyum Kim, Il Sook Kwon
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Volatility of Aggregate Volatility and Hedge Fund Returns [PDF]
SSRN Electronic Journal, 2014 This paper investigates empirically whether uncertainty about equity market volatility can explain hedge fund performance both in the cross section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version through returns on lookback straddles on the VIX index.
Agarwal, V, Arisoy, Y E, Naik, N
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CFA Institute Magazine, 2013 “In the long run, we may all be dead, as Keynes suggested, but we need to make sure that the short run doesn’t kill us first,” says Andrew Lo.
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