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Re-examining Bitcoin Volatility: A CAViaR-based Approach
Emerging markets finance & trade, 2021The article aims to explore the heterogeneous feature in the determination of Bitcoin volatility using a Markov regime-switching model and test its forecasting ability.
Zhenghui Li +4 more
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Heterogeneity and Volatility Puzzles in International Finance
SSRN Electronic Journal, 2009AbstractWe 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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Volatility forecasting in finance
2021Aufgrund ihrer Bedeutung für Handels- und Hedgingstrategien ist die Volatilitätsprognose seit mehr als 40 Jahren ein aktives Forschungsgebiet. Die anspruchsvolle Aufgabe hat in letzter Zeit mit der erfolgreichen Implementierung von künstlichen neuronalen Netzwerken wieder an Bedeutung gewonnen, welche oft bessere Ergebnisse liefern als viele ...
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, 2001 The overall impact of financial globalization on the domestic financial sector is profound. Liberalization of capital flows has effectively made domestic financial repression obsolete. The consequences have not been uniformly favorable. Following liberalization, domestic interest rates in developing countries have moved to a premium over industrial ...
Caprio, Gerard, Honohan, Patrick
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Utilizing Topographic Finance to Understand Volatility
SSRN Electronic Journal, 2015Visual 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 ...
Francesco Ungolo, Paul E. Cottrell
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Quantitative finance (Print), 2021This paper derives optimal investment strategies for the 4/2 stochastic volatility model proposed in [Grasselli, M., The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Math.
Yuyang Cheng, M. Escobar-Anel
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Finance, Growth and Volatility
SSRN Electronic Journal, 2007Eempirical studies have not documented an unambiguous relationship between financial development and volatility of economic growth. Existing evidence of contemporaneous association is also insucient to establish the direction of causality. This paper studies the time series relation between financial development, economic growth and growth volatility ...
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RATS Handbook to Accompany Introductory Econometrics for Finance
, 2008Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and ...
Chris Brooks
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The Role of Volatility Value in Power Plant Financing
The Journal of Structured Finance, 2000Volatility value refers to the ability of merchant plants to extract value beyond normal pro forma levels by virtue of their participation in volatile power and fuel markets. Volatility value is derived from the ability to convert a MMBtu to a MWh in both spot and forward power markets, i.e., to participate in the power project9s “spark spread.” The ...
Rutherford S. Poats +2 more
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What Can Explain the Price, Volatility and Trading Volume of Bitcoin?
Finance Research Letters, 2018We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index ...
H. Aalborg +2 more
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