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Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736
price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …
Persistent link: https://www.econbiz.de/10005857774
discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …
Persistent link: https://www.econbiz.de/10005857775
existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …
Persistent link: https://www.econbiz.de/10005857779
In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …
Persistent link: https://www.econbiz.de/10005857780
order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …
Persistent link: https://www.econbiz.de/10005857785
and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …
Persistent link: https://www.econbiz.de/10005858023
We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by …
Persistent link: https://www.econbiz.de/10005858024