Showing 1 - 10 of 1,160
Persistent link: https://www.econbiz.de/10000889671
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …
Persistent link: https://www.econbiz.de/10011622744
Persistent link: https://www.econbiz.de/10013428096
Persistent link: https://www.econbiz.de/10012542854
Persistent link: https://www.econbiz.de/10012601651
Persistent link: https://www.econbiz.de/10012208719
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10013428452
This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski (2018), we identify uncertainty shocks using the price...
Persistent link: https://www.econbiz.de/10015410353
Persistent link: https://www.econbiz.de/10000889675
volatility. Hence, they are viable alternatives to the geometric Brownian motion. …
Persistent link: https://www.econbiz.de/10013428466