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pro vyhledávání: '"Forward volatility"'
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Autor:
Garcia, Philip, Sherrick, Bruce J.
Publikováno v:
American Journal of Agricultural Economics, 2007 Feb 01. 89(1), 1-11.
Externí odkaz:
https://www.jstor.org/stable/4123558
Publikováno v:
Journal of Financial Economics. 141:1262-1284
We study the cross-section of returns on FX options sorting currencies based on implied volatilities (IV). Long straddle positions in currencies with low (high) implied volatilities perform well (poorly). A long low IV-short high IV strategy produces
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::63806d5e65528c60250feaa5a0d95082
https://doi.org/10.1016/j.jfineco.2021.04.030
https://doi.org/10.1016/j.jfineco.2021.04.030
Publikováno v:
Journal of Financial Economics. 140:412-435
We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::806179d47a6835bfe595e262c0f2ac0c
https://doi.org/10.1016/j.jfineco.2020.12.009
https://doi.org/10.1016/j.jfineco.2020.12.009
Autor:
P Hemanth Kumar, S. Basavaraj Patil
Volatility Forecasting is an interesting challenging topic in current financial instruments as it is directly associated with profits. There are many risks and rewards directly associated with volatility. Hence forecasting volatility becomes most dis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68207751e37df5c2eb19c4f4cac04720
Publikováno v:
Journal of Econometrics. 219:354-388
This paper focuses on the estimation of the location of level breaks in time series whose shocks display non-stationary volatility (permanent changes in unconditional volatility). We propose a new feasible weighted least squares (WLS) estimator, base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c9834d6ffebd34e8047d896d668e390
https://doi.org/10.1016/j.jeconom.2020.03.008
https://doi.org/10.1016/j.jeconom.2020.03.008
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 26:73-98
We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative specifications, namely (i) a s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7d06a7ffcb58593fef800c1215ee2ca
https://doi.org/10.1515/snde-2019-0009
https://doi.org/10.1515/snde-2019-0009
Autor:
Trust R. Mpofu
Publikováno v:
The World Economy. 44:1380-1401
This paper investigates the determinants of medium to long‐run real exchange rate volatility in South Africa over the period 1986–2015. The main objective of the paper is to analyse the impact of trade openness on real exchange rate volatility fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::334aa4da2d3509b4e7cf68869dd27000
https://doi.org/10.1111/twec.13013
https://doi.org/10.1111/twec.13013
Autor:
Laura Garcia-Jorcano, Alfonso Novales
Publikováno v:
Journal of Forecasting. 40:189-212
We provide evidence suggesting that the assumption on the probability distribution for return in- novations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently propose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a13f5064d274b9f65a97ebbd58a081b8
https://doi.org/10.1002/for.2697
https://doi.org/10.1002/for.2697
Autor:
Diaa Noureldin
Publikováno v:
Journal of Financial Econometrics. 20:76-104
This article introduces a volatility model with a component structure allowing for a realized measure based on high-frequency data (e.g., realized variance) to drive the short-run volatility dynamics. In a joint model of the daily return and the real
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ad6d83fb567c19e659fc04deea07e63
https://doi.org/10.1093/jjfinec/nbz041
https://doi.org/10.1093/jjfinec/nbz041