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The volatility effect in China
Blitz, David; Hanauer, Matthias; Vliet, Willem Nicolaas van - In: The journal of asset management : a major new, … 22 (2021) 5, pp. 338-349
Persistent link: https://www.econbiz.de/10012614829
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Endogenous option pricing
Gamba, Andrea; Saretto, Alessio - 2022
Persistent link: https://www.econbiz.de/10013170529
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Modeling of daily REIT returns and volatility
Asteriou, Dimitrios; Begiazi, Kyriaki - In: Journal of property investment & finance 31 (2013) 6, pp. 589-601
Persistent link: https://www.econbiz.de/10010187652
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Public reaction to stock market volatility : evidence from the ATUS
Payne, Patrick; Browning, Chris; Kalenkoski, Charlene - In: Applied economics letters 23 (2016) 16/18, pp. 1197-1200
Persistent link: https://www.econbiz.de/10011701845
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How to beat the machines before they beat you
Bhansali, Vineer - In: Journal of investment management : JOIM 17 (2019) 3, pp. 21-26
Persistent link: https://www.econbiz.de/10012111008
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Russia's macroeconomy : a closer look at growth, investment, and uncertainty
Becker, Torbjörn - 2019
and one important determinant of growth is investments in physical capital. This in turn is correlated with FDI, which is …
Persistent link: https://www.econbiz.de/10012132420
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The Buffett critique : volatility and long-dated options
Gupta, Neeraj J.; Kurt, Mark; White, Reilly - In: Journal of economics and finance 40 (2016) 3, pp. 524-537
Persistent link: https://www.econbiz.de/10011659004
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Momentum profits and idiosyncratic volatility: the Korean evidence
Unyong (Howard) Pyo; Shin, Yong Jae - In: Review of Accounting and Finance 12 (2013) April, pp. 180-200
Purpose – This study aims to focus on the profitability of momentum trading in the Korean stock market. More specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to determine whether momentum profits can be explained...
Persistent link: https://www.econbiz.de/10010814970
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Virtual volatility
Silva, A. Christian; Prange, Richard E. - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 507-516
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular,...
Persistent link: https://www.econbiz.de/10010590099
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Momentum profits and idiosyncratic volatility: the Korean evidence
Pyo, Unyong (Howard); Jae Shin, Yong - In: Review of Accounting and Finance 12 (2013) 2, pp. 180-200
Purpose – This study aims to focus on the profitability of momentum trading in the Korean stock market. More specifically, it aims to conduct an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) to determine whether momentum profits can be explained...
Persistent link: https://www.econbiz.de/10014989660