component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time and in the absence of a reversal, this wedge progressively disappears. This may be …

. In order to test the model's implications on expected volatility we compute option prices under the generated hazard … volatility in general is downward sloping and its overall level falls steadily over time, although it may exhibit initially a … hump shape in the case of very low initial reputation. In time series without a policy reversal, implied volatility from …

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the “amplification” of yield curve residuals in pricing interest …

This paper discusses the volatility spillover effects in agricultural commodity markets, via studying implied … autoregressive (VAR) model is estimated, and impulse response functions are used to discuss the volatility spillover effects. A …

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education … programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash … price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and …