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In this report, we first develop a simplified example that illustrates the importance of considering the option ``waiting to invest'' when valuing an investment. This is followed by a short description of other options that could be embedded in an investment opportunity. In order to stress the...
Persistent link: https://www.econbiz.de/10005100465
In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the … stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming …
Persistent link: https://www.econbiz.de/10005100570
distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …
Persistent link: https://www.econbiz.de/10005100672
volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …
Persistent link: https://www.econbiz.de/10005100810
leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …
Persistent link: https://www.econbiz.de/10005100839
, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …
Persistent link: https://www.econbiz.de/10005100881
of realized volatility and interval and density forecasts can be extracted from strangles and risk-reversals. The purpose … of this paper is to assess the quality of such volatility, interval and density forecasts. We analyze option … find that the OTC implied volatilities explain a much larger share of the variation in realized volatility than has been …
Persistent link: https://www.econbiz.de/10005100923
, volatility, and return correlation from stock market liberalization in emerging markets? These questions have been studied … declines in volatility, and insignificant change in correlation from liberalization. Small firms show small revaluation effects …, improved performance, smaller decline in volatility and decreases in correlation after liberalization. These results hold after …
Persistent link: https://www.econbiz.de/10005100936
transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …
Persistent link: https://www.econbiz.de/10005100975
The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and …
Persistent link: https://www.econbiz.de/10005100999