Similar Search Results

Evidence of volatility clustering on the FTSE/JSE top 40 index

Louw, Jan Paul - 2008

ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of...

Persistent link: https://www.econbiz.de/10009442059

Inside volatility arbitrage : the secrets of skewness

Javaheri, Alireza - 2005

Persistent link: https://www.econbiz.de/10004830549

The volatility surface : a practitioner's guide

Gatheral, Jim - 2006

Persistent link: https://www.econbiz.de/10004868985

The international library of financial econometrics

Lo, Andrew W. (contributor) - 2007

Persistent link: https://www.econbiz.de/10004889924

On the information content of idiosyncratic equity return variation

Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007

transmission, and fundamental efficiency of stock prices. Chapter 2 of the thesis presents research into the information content of … prices in majority of the Asian emerging markets are not devoid of fundamentals. …

Persistent link: https://www.econbiz.de/10009482095

Financial modeling of the equity market : from CAPM to cointegration

Fabozzi, Frank J.; Focardi, Sergio; Kolm, Petter N. - 2006

Persistent link: https://www.econbiz.de/10004845550

Inside the black box : the simple truth about quantitative trading

Narang, Rishi K. - 2009

Persistent link: https://www.econbiz.de/10004944937

Wind as a price-maker and ancillary services provider in competitive electricity markets

Troy, Niamh; Twohig, Sonya - 2010

Electricity markets are currently evolving to accommodate large scale penetration of wind generation. In this research, potential changes to the classiﬁcation and role of windgenerators in the Single Electricity Market (SEM), the market for Northern Ireland and the Republic of Ireland, are...

Persistent link: https://www.econbiz.de/10009475687

The information content of cross-sectional volatility for future market volatility : evidence from Australian equity returns

Rahman, Md. Arifur - University of Western Sydney; University of Western Sydney - 2007

This paper presents research into the information content of firm-level and industry-level cross-sectional volatility (CSV) of daily equity returns for future market-level volatility in Australia. Using a conditional volatility framework that allows for commonly observed excess kurtosis in asset...

Persistent link: https://www.econbiz.de/10009481991

Capital as a factor of production in OECD agriculture: measurement and data.

Ball, V. Eldon; Lindamood, W.A.; Nehring, Richard; San … - 2008

convert estimates of capital stock into estimates of capital service flows by means of capital rental prices. Comparisons of … levels of capital input among countries require data on relative prices of capital input. We obtain relative price levels for … capital input via relative investment goods prices, taking into account the flow of capital input per unit of capital stock in …

Persistent link: https://www.econbiz.de/10009429438

1
2
3
4
5
6
7
8
9
10
Next
Last