The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. The authors consider a range of GARCH and log--ARFIMA based models as well as some simple forecasting models. Overall, it is found that a log-ARFIMA...

This paper proposes the unobserved fundamental component of volatility as a measure of risk. This concept of fundamental volatility may be more meaningful than observed volatility for market regulators. Fundamental volatility may be obtained using a stochastic volatility model. The authors...

The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of...

Recalling the class of risk measures introduced by Stone (1973), the authors survey measures from several academic disciplines including psychology, economics and finance, which have been introduced since 1973. They introduce a general class of risk measures which extends Stone's class to...

An interesting literature in management science and operations research has dealt with the link between expected utility, risk and preference switches over gambles due to changes in wealth. However, no attention is paid to the specific nature of the gambles. All gambles are essentially assumed...

This paper extends the model of Heston and Rouwenhorst (1994) to investigate the effects of size, value, industry, and country factors on the volatility of stock returns in international stock markets. Country factors dominate the other factors in explaining the return variation. The second most...

he role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin (2004), and Lin and Vandell (2001, 2005), combined with a statistical model of UK commercial property transactions, we show...

This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in Blanchard and Quah (1989) and Bashar (2011). In addition,...