Results 221 to 230 of about 7,359 (259)

Heterogeneity and Volatility Puzzles in International Finance

SSRN Electronic Journal, 2009
AbstractWe develop an equilibrium model in a 2-country, 2-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rates and of stock prices.
Tao Li, Mark L. Muzere
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Utilizing Topographic Finance to Understand Volatility

SSRN Electronic Journal, 2015
Visual representation methods are a common problem in econometrics and finance in order to describe system dynamics. In this paper we address this problem by using the bi-harmonic oscillation process and the Brownian motion components, to generate a three-dimensional volatility surface.The empirical analysis have been carried out on the S&P500 Index ...
Paul E. Cottrell, Francesco Ungolo
openaire   +1 more source

Valuation and the Volatility of Financing and Investment [PDF]

, 2010
all projects are funded. In the region of multiplicity, the move from a pooling (socially efficient) equilibrium to a valuation (socially inefficient) equilibrium involves many features of a financial crisis: prices decline (interest spreads rise); real investment declines; unsophisticated investors leave the market (flight to quality) and ...
Jonathan A. Parker, Michael Fishman
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Bond financing in volatile times.

Healthcare financial management : journal of the Healthcare Financial Management Association, 2014
A competitive landscape for providers and changing market conditions require an understanding of key capital sources: tax-exempt bonds remain an attractive capital source. Credit enhancement for bonds is more expensive and more difficult to find than it was in years past. Direct bond purchases by commercial banks mitigate the traditional risks.
Kenneth A, Gould, Christopher M, Blanda
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Stochastic volatility models with applications in finance

2018
<p>Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of accuracy and efficiency.
Ze Zhao, Gerhard Strohmer, Keith Stroyan, Bruce Ayati, Palle Jorgensen, Tong Li   +5 more
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Sailing in Rough Water: Market Volatility and Corporate Finance

SSRN Electronic Journal, 2003
Abstract This paper examines how market volatility affects corporate financing transactions. Firms face substantial uncertainty with respect to the price, demand, and after-market costs associated with raising public capital. The ability to effectively hedge this risk is critical to the efficient financing of firm capital needs.
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Volatility Estimation in the Era of High-Frequency Finance

2019
Over the last two decades, ultra-high frequency (or tick-by-tick) transaction data has become increasingly available. This surge of high-frequency finance data has brought disruptive revolution that makes modeling asset prices as continuous-time processes more possible than ever before.
Sibo Yan, Da Yan
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Adaptive-Lasso MGARCH for the Volatility Spillover of Transition Finance

Most transition-finance assets (green bonds, EU emission allowances, clean-energy equities) have only a few years of daily data and virtually no intraday history, rendering standard spillover tools either infeasible (high-dimensional MGARCH) or inapplicable (realized-variance VARs). We develop an Adaptive-Lasso MGARCH (AL-MGARCH) estimator that applies
Xu, Yongdeng, Lyu, Juyi, Mazouz, Khelifa
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Finance for Growth: Policy Choices in a Volatile World [PDF]

, 2001
Understanding just how finance contributes to development—and how good policy can help guarantee its contribution—has been the focus of a major research effort in recent years. This research has included systematic case-study analyses of the experiences of specific countries, as well as more recent econometric analyses of extensive cross-country data ...
Caprio, Gerard, Honohan, Patrick
openaire  

Behavioral Finance: Volatility in Financial Markets

Bulletin of Chelyabinsk State University, 2021
N. V. Kim, N. A. Balysheva
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