Volatility
6,182 Followers
Recent papers in Volatility
DESCRIPTION Prior research finds a weak relation between cash-flow volatility and leverage. Using a novel measure of cash-flow volatility, we find that volatility matters more for firms that are financially constrained. Constrained firms... more
With the emergence of the World Wide Web, analyzing and improving Web communication has become essential to adapt the Web content to the visitors’ expectations. Web communication analysis is traditionally performed by Web analytics... more
An identical two-sector productivity shock causes Rybczynski (1955) and Stolper and Samuelson (1941) effects that release leisure time and initially raise the relative price of human capital investment so as to favor it over goods... more
OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT) models of portfolio selection when compared with the Naïve and Mean-Variance ones, applied to the Brazilian stock... more
Information affects stock prices, even if it is not truthful. The news piped through the business press may contain deliberately planted misinformation. This study examines the effect of erroneous news and analysis by a leading daily... more
Forecasting the volatility of financial markets is one of the important issues in empirical finance that absorbed the interest of many researchers in the last decade. As it is known, there has been many studies uncovering the properties... more
This paper investigates the consequences of stochastic volatility for pricing spot foreign currency options. A diffusion model for exchange rates with stochastic volatility is proposed and estimated. The parameter estimates are then used... more
This paper examines the effects of time to maturity, volume and open interest on the price volatility of futures contracts in Turkish derivative markets. The determinant of volatility is tested using conditional variance models during the... more
The study aimed to explore the impact of investment decision making on financial performance of the textile industry from managers perceptions. The Indian textile industry is the second largest industry in the world, after China. After... more
The aim of this paper was to accurately and efficiently forecast from multivariate generalized autoregressive conditional heteroscedastic models. The Rotated Dynamic Conditional Correlation (RDCC) model with the Normal, Student’s-t and... more
The purpose of this project is to construct an investment portfolio including 10 O&G equity instruments by minimising the risks in form of volatility and VaR. We shall namely collect historical share price data for 5 years in order to... more
The primary objective of present study is to examine the impact of merger and acquisition announcements during 2000–2018 on stock returns and intraday volatility of banks listed on National Stock Exchange in India. The sample of 383... more
Introduzione Questo è il primo di una collana di papers che pubblicherò nei prossimi mesi sulla volatilità. Ha un carattere introduttivo, con lo scopo di avvicinare ad uno studio quantitativo gli operatori che hanno a che fare... more
In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to... more
Yüksek volatilite dönemlerinde hisse senedi yatırımı yapmak, volatilitenin nispeten düşük olduğu dönemlere göre yatırımcılar açısından daha zor olmaktadır. Bu dönemlerde, piyasaların etkinlik seviyeleri azalış göstermekte ve... more
The purpose of this project paper is to report the implementation of some of the in class presented statistical models and forecasting procedures. We started with the idea of employing an autoregressive conditional heteroscedasticity... more
Allocations of wealth across different asset classes and specific investments have become a challenging task for the investors, portfolio managers and fund managers. Essentially, investors participate in financial markets over time in... more
The purpose of this paper is to measure whether the investor operating on the Casablanca Stock Exchange displays a behavior of overconfidence, and to examine, under this hypothesis, the role of overconfidence in the explanation of... more
The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR-based (Terasvirta, 1994) counter parts where both the conditional mean and the conditional variance processes follow TAR and STAR... more
El presente Trabajo Fin de Master plantea como objetivo la aplicación práctica del modelo GARCH y distribuciones de colas anchas en el cálculo del riesgo de mercado, mediante metodología VeR Paramétrica, en una cartera de renta variable... more
Özet Psikoterapist-danışan ilişkisi, farklı kuramsal yaklaşımlarla şekillenen, bireysel ve kişilerarası dinamikler üzerine inşa edilen karmaşık bir ilişkidir. Bu ilişki, danışan rolündeki kişinin afektif kırılganlığının ve... more
This master's thesis compares and identifies the advantages and disadvantages of methods for forecasting volatility in precious metals markets. The objectives of the thesis include reviewing risk definitions and synthesis of risk... more
Modeling is important because scientists investigate the world around us by building models that simulate real-world problems. Modeling is neither science nor mathematics; it is the craft that builds bridges between the two. Progress in... more
EViews ekran resimleri ile aşama aşama ARCH ve GARCH modellerinin tahmin edilmesi. Hangi aşamada nereye tıklanacak?
Türkiye ekonometri, Erginbay Uğurlu
Türkiye ekonometri, Erginbay Uğurlu