A general equilibrium approach to pricing volatility risk.
PLoS ONE, 2019 This paper provides a general equilibrium approach to pricing volatility. Existing models (e.g., ARCH/GARCH, stochastic volatility) take a statistical approach to estimating volatility, volatility indices (e.g., CBOE VIX) use a weighted combination of ...
Jianlei Han +4 more
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Asymmetric thresholds of macroeconomic volatility's impact on stock volatility in developing economies: a study in Vietnam [PDF]
Journal of Economics and DevelopmentPurpose – This paper examines the impact of macroeconomic volatility on stock volatility, both under normal conditions and during the COVID-19 pandemic in Vietnam.
Lien Thi Nguyen +2 more
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Trade Volatility in the Association of Southeast Asian Nations Plus Three: Impacts and Determinants
Asian Development Review, 2020 This paper investigates trade volatility in the Association of Southeast Asian Nations Plus Three (ASEAN+3) and its links with output volatility, export diversification, and free trade agreements.
Thi Nguyet Anh Nguyen +2 more
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Financial Development and Output Volatility: A Cross-Sectional Panel Data Analysis
Lahore Journal of Economics, 2018 This paper aims to provide a more comprehensive understanding of the impact of financial developments on output volatility. Using cross-sectional and panel datasets for 79 countries from 1961 to 2012, we find that financial expansion plays a significant
M. Tariq Majeed, Ayesha Noreen
doaj
Comparative Analysis of Market Volatility in Indian Banking and IT Sectors by using Average Decline Model [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2017 The stock market volatility is depends on three major features, complete volatility, volatility fluctuations, and volatility attention and they are calculate by the statistical techniques. Comparative analysis of market volatility for two major index i.e.
Kirti AREKAR, Rinku JAIN
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Realized Volatility Risk [PDF]
In this paper we document that realized variation measures constructed from high- frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
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Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market [PDF]
, 2002 Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as ...
Claessen, Holger, Mittnik, Stefan
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PRICE VOLATILITY AND SPILLOVER OF BIG CAYENNE (Capsicum annuum L.) IN MALANG DISTRICTS
AGRISE, 2019 Production of big cayenne in Malang Districts has trend increase while consumption has trends decrease make excess supply. Unbalanced supply and demand causes price fluctuation between producers and consumers.
Nurul Khabibah +2 more
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The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices [PDF]
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for ...
Bent Jesper Christensen +1 more
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