Results 31 to 40 of about 230,659 (313)
Effect of volatility of foreign direct investment inflows on corporate income tax revenue volatility [PDF]
Applied Economic Analysis, 2021 Purpose – This paper aims to examine how the volatility of foreign direct investment (FDI) inflows affects the volatility of corporate income tax revenue. Design/methodology/approach – The study has used an unbalanced panel data set of 129 countries over
Sena Kimm Gnangnon
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Earnings quality measures and stock return volatility in South Africa
Future Business Journal, 2022 This paper examined the association between various measures of earnings quality and stock return volatility of Johannesburg Stock Exchange (JSE)-listed companies for 10 years from 2009 to 2018.
Nyanine Chuele Fonou-Dombeu +3 more
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Volatility of Volatility: A Simple Model-Free Motivation [PDF]
Wilmott, 2011 Our goal is to provide a simple, intuitive and model-free motivation for the importance of volatility-of-volatility in pricing certain kinds of exotic and structured products.
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Biochemistry of Plant Volatiles [PDF]
Plant Physiology, 2004 Plants have a penchant for perfuming the atmosphere around them. Since antiquity it has been known that both floral and vegetative parts of many species emit substances with distinctive smells. The discovery of the gaseous hormone ethylene 70 years ago brought the realization that at least some ...
Dudareva, N. +2 more
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Reconstructing volatility: Pricing of index options under rough volatility
Mathematical Finance, 2023 AbstractAvellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index.
Peter K. Friz, Thomas Wagenhofer
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Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility [PDF]
Review of Economics and Statistics, 2015 Abstract Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual stocks, this paper sheds new light on the predictability of equity price volatility.We showthat future volatility is more strongly related to the volatility of past negative returns than ...
Andrew J. Patton, Kevin Sheppard
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Volatility of cryptocurrencies
Notitia, 2020 Many models have been developed to model, estimate and forecast financial time series volatility, amongst which are the most popular autoregressive conditional heteroscedasticity (ARCH) model introduced by Engle (1982) and generalized autoregressive conditional heteroscedasticity (GARCH) model introduced by Bollerslev (1986).
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A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2014 We propose a new type of asymptotic expansion for the transition probability density function (or heat kernel) of certain parabolic partial differential equations (PDEs) that appear in option pricing. As other, related methods developed by Costanzino, Hagan, Gatheral, Lesniewski, Pascucci, and their collaborators, among others, our method is based on ...
Nistor, Victor +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Background B‐acute lymphoblastic leukemia (B‐ALL) is the most common pediatric cancer, and while most children in high‐resource settings are cured, therapy carries risks for long‐term toxicities. Understanding parents’ concerns about these late effects is essential to guide anticipatory support and inform evolving therapeutic approaches ...
Kellee N. Parker +7 more
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Economies, 2023 Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank ...
Ioannis Dokas +3 more
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