Results 11 to 20 of about 254,826 (323)
Liquidity effects on oil volatility forecasting: From fintech perspective.
PLoS ONE, 2021 Fin-tech is an emerging field, inspiring revolutionary innovations in the financial field. It may initiate the evolutionary episode of the financial research, where volatility forecasting is a crucial topic in finance.
Shusheng Ding +3 more
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Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors [PDF]
SSRN Electronic Journal, 2014 In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and
Christos S. Savva +4 more
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Computational finance: correlation, volatility, and markets [PDF]
WIREs Computational Statistics, 2014 Financial data by nature are inter‐related and should be analyzed using multivariate methods. Many models exist for the joint analysis of multiple financial instruments. Early models often assumed some type of constant behavior between the instruments over the time period of analysis.
Ensor, Katherine Bennett +1 more
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Liquidity-free implied volatilities: An approach using conic finance [PDF]
International Journal of Financial Engineering, 2021 In this paper, we consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not ...
Peter Spreij +4 more
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Electoral volatility and political finance regulation in Colombia
Colombia Internacional, 2018 This article examines the relationship between electoral volatility and political finance regulation in Colombia. The author argues that recent political finance reforms in this country (e.g. changes in regulation of campaign donations, campaign spending,
Néstor Castañeda
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Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
Mathematics, 2023 Studying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature.
Rangan Gupta +3 more
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The Application of Symbolic Regression on Identifying Implied Volatility Surface
Mathematics, 2023 One important parameter in the Black–Scholes option pricing model is the implied volatility. Implied volatility surface (IVS) is an important concept in finance that describes the variation of implied volatility across option strike price and time to ...
Jiayi Luo, Cindy Long Yu
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Entropy Based Student’s t-Process Dynamical Model
Entropy, 2021 Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives.
Ayumu Nono +2 more
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Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka [PDF]
Colombo Business Journal, 2020 The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions.
H. A. P. K. Perera
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The Effect of Green Finance On Stock Price Volatility
Eduvest - Journal of Universal Studies, 2023 This study aims to determine the effect of green finance (green accounting) on stock price volatility. Stock price volatility is the movement of up and down stock prices on the stock exchange. In this study, the sample used was mining companies listed on the Indonesia Stock Exchange for the 2013-2018 period with a total population of 46 companies ...
Ernst Tunggul Pardomuan Siregar +1 more
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