搜索结果: 1-15 共查到“货币银行学 volatility”相关记录47条 . 查询时间(0.124 秒)
We investigate the relationship between foreign direct ownership of firms and firm- and regionhighly robust, relationship between firm-level foreign ownership and volatility of value...
Volatility and growth: Credit constraints and the composition of investment
Growth Volatility Credit constraints
2015/7/21
How does uncertainty and credit constraints affect the cyclical composition of
investment and thereby volatility and growth? This paper addresses this question
within a model where firms engag...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Treasury Bond Volatility and Uncertainty about Monetary Policy
macroeconomic factors monetary policy survey data
2011/8/21
We show that dispersion-based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasu...
Fund Flow Volatility and Performance
Open-end mutual funds performance differences cash holdings
2011/8/21
This paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flow...
Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeli...
The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volati...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the ...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
stochastic volatility model misspecification volatility arbitrage
2010/10/18
There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise t...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given...