Results 331 to 340 of about 1,369,451 (372)

Finance and consumption volatility: Evidence from India

Journal of International Money and Finance, 2011
Abstract The main objective of this paper is to explore the determinants of private consumption growth volatility in India, focusing on the role of financial sector policies. Using data for India over the period 1950–2005, the results show that the implementation of financial repressionist policies is strongly associated with lower consumption ...
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Volatility is rough

, 2014
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at ...
Jim Gatheral, Thibault Jaisson, M. Rosenbaum   +2 more
semanticscholar   +1 more source

Frontiers in Quantitative Finance

2008
Preface. About the Editor. About the Contributors. PART ONE: Option Pricing and Volatility Modeling. CHAPTER 1: A Moment Approach to Static Arbitrage ( Alexandre d'Aspremont ). 1.1 Introduction. 1.2 No-Arbitrage Conditions. 1.3 Example. 1.4 Conclusion.
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Equity Market Liberalization, Fundamental Volatility, and External Finance

SSRN Electronic Journal, 2011
Using data for emerging market firms that are either investable or uninvestable to foreigners, we study the effects of investability on fundamental volatility, excess volatility, and external finance. We find that fundamental volatility is lower for investable firms, while excess stock return volatility is greater.
Jeffrey Pontiff, Mengxin Zhao, R. David McLean   +2 more
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How Do Financing Constraints Affect Firms’ Equity Volatility?

The Journal of Finance, 2014
ABSTRACTTheory suggests that financing frictions can have significant implications for equity volatility by shaping firms’ exposure to economic risks. This paper provides evidence that an important determinant of higher equity volatility among research and development (R&D)‐intensive firms is fewer financing constraints on firms’ ability to access ...
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Volatility of the returns and expected losses of Islamic bank financing [PDF]

International Journal of Islamic and Middle Eastern Finance and Management, 2010
PurposeThe paper attempts to analyze the volatility of returns and expected losses of Islamic bank financing. In particular, it takes the case of Indonesian Islamic banking industry.Design/methodology/approachThe paper uses Value at Risk (VaR) approach to compute the volatility (risk) of returns and expected losses of Islamic bank financing.
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Behavioral Finance: Volatility in Financial Markets

Bulletin of Chelyabinsk State University, 2021
N. A. Balysheva, N. V. Kim
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A Macro Finance Term Structure Model with Stochastic Volatility

SSRN Electronic Journal, 2007
This paper proposes a term structure model with macro VAR in a stochastic volatility setting. The specific feature of this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR innovations, which is modeled by a Wishart Autoregressive process. Extending the essentially affine term structure model,
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Trends and Volatility in School Finance

American Journal of Agricultural Economics, 2009
Mary Clare Ahearn, Maureen Kilkenny, Sarah A. Low   +2 more
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Utilizing Topographic Finance to Understand Volatility (Presentation Slides)

SSRN Electronic Journal, 2016
Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility function.
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