Narrow search
Showing 1 - 10 of 3,033
Cover Image
Pricing Weather Derivatives
Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004
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
Cover Image
Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach
Jelena, Minović - In: South East European Journal of Economics and Business 5 (2010) 1, pp. 39-55
This article presents an empirical calculation of volatility and co-movements for selected securities listed at the …
Persistent link: https://www.econbiz.de/10011008813
Cover Image
Empirical Analysis of Volatility and Co-movements in Serbian Frontier Financial Market: MGARCH Approach
Minović Z. Jelena - In: South East European Journal of Economics and Business 5 (2010) 1, pp. 39-55
This article presents an empirical calculation of volatility and co-movements for selected securities listed at the …
Persistent link: https://www.econbiz.de/10010534357
Cover Image
A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
Rodrigues, Paulo; Rubia, Antonio - In: Statistical Papers 49 (2008) 3, pp. 581-593
Persistent link: https://www.econbiz.de/10008533855
Cover Image
An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi; Avellaneda, Marco - In: Applied Mathematical Finance 4 (1997) 2, pp. 81-100
and which explain, on average, the movements of the termstructure of volatility to more than 95% in all cases. We test and … confidence bands for the term structure of volatility. …
Persistent link: https://www.econbiz.de/10009279105
Cover Image
Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data
Koekebakker, Steen; Lien, Gudbrand D. - European Association of Agricultural Economists - EAAE - 2002
and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure … including both seasonal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures shows that …
Persistent link: https://www.econbiz.de/10005493689
Cover Image
Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012
market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …
Persistent link: https://www.econbiz.de/10009360288
Cover Image
Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …
Persistent link: https://www.econbiz.de/10005413172
Cover Image
Financial Markets Equilibrium with Heterogeneous Agents
Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012
shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10010708121
Cover Image
Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan
Mahmood, Asif - Volkswirtschaftliche Fakultät, … - 2014
This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in … case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end … underpinning of the interest rates volatility transmission process found in other countries. Moreover, the results also suggest …
Persistent link: https://www.econbiz.de/10011107405