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On the complete model with stochastic volatility by Hobson and Rogers

Pascucci, Andrea; Francesco, Marco Di - EconWPA - 2005

We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial differential equations governing this financial problem and...

Persistent link: https://www.econbiz.de/10005561720

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

Persistent link: https://www.econbiz.de/10005119158

Non-stationarities in stock returns

Starica, Catalin; Granger, Clive - EconWPA - 2004

The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...

Persistent link: https://www.econbiz.de/10005119176

Commodity Price Volatility Across Exchange Rate Regimes

Cuddington, John T.; Liang, Hong - EconWPA - 1998

from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the …

Persistent link: https://www.econbiz.de/10005119448

The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment

Albuquerque, Rui - EconWPA - 2004

Evidence on international capital flows suggests that foreign direct investment (FDI) is less volatile than other financial flows. To explain this finding, I model international capital flows under the assumptions of imperfect enforcement of financial contracts and inalienability of FDI....

Persistent link: https://www.econbiz.de/10005119449

Capital Flows and Domestic Financial Sector in India

Kohli, Renu - EconWPA - 2004

, it is found, has a significant impact on domestic money supply and stock market growth, liquidity and volatility. The …

Persistent link: https://www.econbiz.de/10005119480

Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe

Souza, Lucio Vinhas de - EconWPA - 2004

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …

Persistent link: https://www.econbiz.de/10005062709

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

Kilic, Ekrem - EconWPA - 2005

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

Persistent link: https://www.econbiz.de/10005556286

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

Persistent link: https://www.econbiz.de/10005556399