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Andersen, Torben
15
Diebold, Francis X.
15
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14
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ECONIS (ZBW)
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1
A General Stochastic
Volatility
Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B.
-
2010
We develop a tractable and flexible stochastic
volatility
multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012761268
Saved in:
2
Unspanned Stochastic
Volatility
and the Pricing of Commodity Derivatives
Trolle, Anders B.
-
2007
We conduct a comprehensive analysis of unspanned stochastic
volatility
in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic
volatility
in … stochastic
volatility
. The model features correlations between innovations to futures prices and
volatility
, quasi …
Persistent link: https://www.econbiz.de/10012778140
Saved in:
3
Option Prices in a Model with Stochastic Disaster Risk
Seo, Sang Byung
-
2013
the mean and
volatility
of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity
volatility
and option prices. We explore different …
Persistent link: https://www.econbiz.de/10013073202
Saved in:
4
Correlated Beliefs, Returns, and Stock Market
Volatility
David, Joel
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our … findings have implications for market-wide
volatility
- the model-implied correlations alone can explain 44% of the cross …
Persistent link: https://www.econbiz.de/10013017087
Saved in:
5
Globally Correlated Nominal Fluctuations
Henriksen, Espen
-
2009
Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...
Persistent link: https://www.econbiz.de/10013158041
Saved in:
6
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
Saved in:
7
International Asset Allocation with Time-Varying Correlations
Bekaert, Geert
-
2008
a regime-switching model and find evidence for the existence of a high
volatility
regime, in which returns are more …
Persistent link: https://www.econbiz.de/10012774819
Saved in:
8
On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K. C.
-
2010
-of-sample
volatility
of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error
volatility
criterion, larger differences appear, with particularly favorable …
Persistent link: https://www.econbiz.de/10012763801
Saved in:
9
Jump and
Volatility
Risk and Risk Premia : A New Model and Lessons from S&P 500 Options
Santa-Clara, Pedro
-
2005
We use a novel pricing model to filter times series of diffusive
volatility
and jump intensity from Samp;P 500 index … about twice the premium required to compensate the same investor for the realized
volatility
, 5.8 percent. Moreover, the ex …
Persistent link: https://www.econbiz.de/10012785090
Saved in:
10
Index-Option Pricing with Stochastic
Volatility
and the Value of Accurate Variance Forecasts
Engle, Robert F.
-
2010
In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....
Persistent link: https://www.econbiz.de/10012763182
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