Results 31 to 40 of about 590,055 (198)
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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Financial stability — Unfinished business
Latin American Journal of Central BankingGlobal financial stability is critical for sustainable economic growth. The post-global financial crisis reform program strengthened the banking system, and, despite several shocks, the global economy and financial system appear relatively resilient. But
Richard Berner
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Pricing options with dual volatility input to modular neural networks
Borsa Istanbul Review, 2020 Tested is the choice of the volatility input to the artificial neural networks in the process of pricing options. Numerous studies concluded the weaknesses of Black-Scholes model use as a pricing tool in the market.
Sadi Fadda
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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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Maximum likelihood approach for several stochastic volatility models
, 2012 Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable.
Camprodon, Jordi, Perelló, Josep
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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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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 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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