long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model …

that the company tend to face higher risk, as JPFA find itself with positif return 15.47% expected return. And companies … sensitive to market changes. It is recommended for further research to look on this CAPM method in analyzing the stock …

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 … participants, lock-in effect and risk diversification and also a comprehensive model with heterogeneous participants - investors …

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 …

gegenwärtigen Risikomaße ignorieren größtenteils das systematische Risiko, das durch Korrelationen von Finanzanlagen, Finanzmärkten … on assessing, modelling and forecasting risks during different financial times. The existing risk measures largely ignore … the systematic risk induced by correlations among financial assets, financial markets or financial agents and are …

One of the impacts of higher prices along with greater volatility in futures and basis is thatthere is pressure for an … escalation in cash contracting for grain. This volatility has resulted inan unprecedented level of contracting with growers in … and the marketing system, particularly as buyers seek to usesuch contracting strategies as an element of risk mitigation …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …

. It suggest a microeconometric method for measuring flooding related risk preferences of affectedindividuals. The method …-experimental approach to measure differences in the risk attitudes of farmers located in highflooding risk areas versus farmers located in … low flooding risk areas is followed. Changes in flooding risk relatedbehaviour over time is analysed and marginal effects …