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Range Volatility Models and Their Applications in Finance
2010There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including various range estimators and range-based volatility models. In addition, other alternative models developed recently, such as range-based multivariate volatility models and ...
Heng-Chih Chou +3 more
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Sailing in Rough Water: Market Volatility and Corporate Finance [PDF]
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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Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets
Quarterly Review of Economics and Finance, 2019Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources.
L. Smales
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Agent-Based Modeling in Economics and Finance: Past, Present, and Future
Journal of Economic LiteratureAgent-based modeling (ABM) is a novel computational methodology for representing the behavior of individuals in order to study social phenomena. Its use is rapidly growing in many fields. We review ABM in economics and finance and highlight how it can be
Robert L. Axtell, J. D. Farmer
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European Journal of Operational Research, 2020
We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset
Zhenyu Cui, J. Kirkby, D. Nguyen
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We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset
Zhenyu Cui, J. Kirkby, D. Nguyen
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Effects of Stock Price Volatility on Listed Companies' Financing
2008 4th International Conference on Wireless Communications, Networking and Mobile Computing, 2008According to the new risk asset pricing theory, individual stock price volatility can increase investors' required return, so it can affect the company's cost of equity capital. This study investigates the effect of stock price volatility on listed companies' financing behavior in China, and finds that the listed companies' stock price volatility has ...
Wang Chun-feng +2 more
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Implied Volatility Indices – A Review
Quarterly Review of Economics and Finance, 2019An implied volatility index reflects the market expectations for the future volatility of the underlying equity index. This study tests and documents the information content, regarding both the realized volatility and the returns of the underlying equity
C. Siriopoulos, Athanasios P. Fassas
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