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Volatility and the Term Structure: Evidence from Interest Rate Derivatives

Beber, Alessandro; Fabio Fornari. - Society for Computational Economics - SCE - 2004

. More specifically, we bring in information about the term structure of implied volatility from derivatives data and we use …, we obtain forecasts of volatility that can be useful for derivatives pricing and hedging purposes. Finally, our results …

Persistent link: https://www.econbiz.de/10005537624

An Interacting-Agents Approach to International Financial Contagion

Kaizoji, Taisei - Society for Computational Economics - SCE - 2001

) the volatility of financial prices is time-varying; (ii) when volatility is high, the price changes in major markets tend … Market Co-Movements.‰h NBER Working Paper 7267. 3 King, Mervyn, and Sushil Wadhwani (1990). ‰gTransmission of Volatility …

Persistent link: https://www.econbiz.de/10005132883

HRM and Value Creation

PHILIP, Michel; Micheletti, Patrick - Society for Computational Economics - SCE - 2005

Itâ€™s conceptually attractive to look for connection between performance, HRM and economic situation. How measure epiphenomenonâ€™s impact when we canâ€™t isolate that from global strategy? If casual relations maybe established, event can be interpreted in several ways (e.g. its...

Persistent link: https://www.econbiz.de/10005343065

Volatility and realized quadratic variation of differenced returns

Hoeg, Esben - Society for Computational Economics - SCE - 2005

This paper analyzes some asymptotic results for a new estimator of integrated volatility in a continuous-time diffusion … volatility. Analytically, the asymptotics of the proposed estimator is compared to the usual realized volatility estimators …

Persistent link: https://www.econbiz.de/10005345054