搜索结果: 121-133 共查到“经济学 Volatility”相关记录133条 . 查询时间(0.046 秒)
We will compare three types of prices, namely, rational (hedging) prices, geometric (growth rate) prices, and martingale (measure) prices. We will show that rational prices in the complete market theo...
主讲人
Pengfei Wang
Cornell University
题目
Endogenous Volatility, Endogenous Growth, and Large Welfare Gains from Stabilization Policies
时间
2006年12月25日（星期一）下午14：00-----15:30
地点
北京大学中国经济研究中心万众楼小教室
工作语言
英...
Bayesian Estimate on the Volatility for Black-Scholes Formula
black Scholes formula bayesian estimate
2007/6/14
In this paper, for black Scholes formula volatility ,we use Bayesian views to discuss parameter estimate. Under the parameter no information prior distribution, we give a Bayesian estimate method for ...
ON THE MACROECONOMIC CAUSES OF EXCHANGE RATES VOLATILITY
exchange rates volatility macroeconomic volatility, long memory structural change fractional cointegration cobreaking, fractionally integrated factor vector autoregressive model G-7 area
2014/6/24
What are the causes of exchange rate volatility? When second moments implications of theories of exchange rates determination are considered, long-term fundamental linkages between macroeconomic and e...
COMOVEMENTS IN VOLATILITY IN THE EURO MO NEY MARKET
Money market interest rates liquidity e§ ect realized volatility fractional integration and cointegration fractional vector error correction model
2014/6/24
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main Öndings of the study are as...
On the Value–Volatility Relationship in a Real Options Model
investment analysis option-pricing theory finance
2010/12/7
In the analytical real options approach, the most important proposition that the value of the investment opportunity increases as the volatility increases has been proved by assuming the convexity of ...
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Bias-correction Market microstructure Martingale Measurement error Realized volatility Subsampling
2014/3/13
It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced ...
Strctural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios
risk factors structural change long memory fractional cointegration portfolio allocation
2014/6/26
We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper,we point to structural breaks in the volatility of the facto...
The use of absolute return volatility has many modelling benefits says John Cotter. An illustration is given for the market risk measure, minimum capital requirements.
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also exam...
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED LEVY PROCESSES
Jumps efficiency inference discrete sampling
2014/3/13
This paper studies the estimation of the volatility parameter in a model where the driving process is a Brownian motion or a more general symmetric stable process that is perturbed by another Lévy pro...
Maximum likelihood estimation of stochastic volatility models
Closed-form likelihood expansions Volatility proxies Heston model GARCH model CEV model
2014/3/13
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure,where an optio...
Dynamic Equilibrium and Volatility in Financial Asset Markets
Dynamic Equilibrium Volatility Financial Asset Markets
2014/3/13
Dynamic Equilibrium and Volatility in Financial Asset Markets.