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Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …
Persistent link: https://www.econbiz.de/10005036300
This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...
Persistent link: https://www.econbiz.de/10005805319
In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …
Persistent link: https://www.econbiz.de/10009003989
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In support of the financial-accelerator theory, evidence is found on countercyclical price-cost banking margins …
Persistent link: https://www.econbiz.de/10009358537
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O'Hara G. (2005) A journey without maps: the regional policies of the 1964-70 British Labour Government, Regional Studies 39 , 1183-1195. This paper examines four influences on British regional policy in the late 1960s: party politics in the context of the economic environment; the structure of...
Persistent link: https://www.econbiz.de/10005278616
Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South … African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a … specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the …
Persistent link: https://www.econbiz.de/10005493790