outside the Union. The analysis indicates the need to distinguish between short-term oscillations (i.e. volatility) and medium …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to … financial development has important consequences for the efficiency and specialization (or diversification) of investments, in a …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

This paper relates the volatility of the (trade-weighted) effective real exchange rate to the degree of trade openness … share of an economy and the volatility of its real exchange rate. Empirical evidence on a cross-section of 54 countries … confirms this relationship: Difference in trade openness explain a large part of the cross-country variation in the volatility …

reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices …The paper analyzes foreign investment and asset prices in a context of uncertainty over future government policy. The …, investment, and asset prices over time, as well as perceived policy risk. Quite generally, perceived risk abates as current …

(real or nominal, bilateral or effective) exchange rate volatility? If so, has this been at the expense of increased … interest rate volatility? How important have capital controls been for the operation of the EMS? Has the Exchange Rate … Mechanism reduced the volatility of unanticipated exchange rate changes? Has the EMS been effective in making ERM currencies …

investment funds traces out a mean-variance tradeoff for the growth rate of the economy. In particular, the volatility of these … and volatility. …

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

. Explicit expressions are given for state prices and consumption-wealth ratios. If utility is logarithmic or endowment growth is …-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …