Results 101 to 110 of about 590,055 (198)
Financial openness and macroeconomic volatility [PDF]
We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model without domestic ...
von Hagen, Jürgen, Zhang, Haiping
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Stock Market Volatility: Examining North America, Europe and Asia [PDF]
An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable
Gamini Premaratne, Lakshmi Bala
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Coin impact on cross-crypto realized volatility and dynamic cryptocurrency volatility connectedness
Financial InnovationThis study evaluates the predictive accuracy of traditional time series (TS) models versus machine learning (ML) methods in forecasting realized volatility across major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), and Ripple (XRP ...
Burak Korkusuz, Mehmet Sahiner
doaj +1 more source
The Rise and Fall of S&P500 Variance Futures [PDF]
Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and ...
Chia-Lin Chang +3 more
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Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Francis X. Diebold +3 more
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The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets [PDF]
This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets.
Cheny Chen, Hoa Nguyen, Ming-Hua Liu
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation [PDF]
By means of classical Itô's calculus we decompose option prices as the sum of the classical Black-Scholes formula with volatility parameter equal to the root-mean-square future average volatility plus a term due by correlation and a term due to the ...
Elisa Alòs
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From Hurricane Irma to the Grindavík eruptions: volatility premiums in disaster governance. [PDF]
DisastersBjörnsson T.
europepmc +1 more source
Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]
Front Artif IntellAl-Besher S, Al-Najjar D.
europepmc +1 more source