comparison of three measures of hedge effectiveness in the context of hedging market risk using the Australian All Ordinaries …

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 …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying … Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

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 …

investigate the relationship between the Chinese stock market performance and domestic economic activity.China's stock market was … links between China's booming national economy and the domestic stock returns.Using both time-series and cross …