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An empirical model of volatility of returns and option pricing

McCauley, J.L.; Gunaratne, G.h. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706586

Volatility and Policy Regimes: the UK joining the Euro

Holly, Sean; Corrado, Luisa - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706783

The continuous time random walk formalism in financial markets

Masoliver, Jaume; Montero, Miquel; Perello, Josep - Society for Computational Economics - SCE

reflected by high-frequency data knowing only the daily volatility. We apply the formalism to actual financial data and try to …

Persistent link: https://www.econbiz.de/10005706837

Political instability and inflation volatility

Aisen, Ari; Veiga, Francisco - In: Public Choice 135 (2008) 3, pp. 207-223

Persistent link: https://www.econbiz.de/10005709313

Have economic fluctuations been dampened? New empirical evidence from Italy

Schlitzer, Giuseppe - In: Open Economies Review 6 (1995) 4, pp. 387-397

Using new series of aggregate and disaggregate output, this paper examines the historical pattern of volatility of … although the sign of the change in volatility is invariant to the filter adopted for the decomposition into trend and cycle …

Persistent link: https://www.econbiz.de/10005711930

The Empirics of Foreign Reserves

Lane, Philip; Burke, Dominic - In: Open Economies Review 12 (2001) 4, pp. 423-434

In this article, we study the determinants of cross-country variation in the level of international reserves over the period 1981â€“1995. Confirming intuition, trade openness is easily the most important variable. There is also some evidence that financial deepening is associated with an...

Persistent link: https://www.econbiz.de/10005715013

Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines

Choudhry, Taufiq; Hasan, Mohammad - In: Open Economies Review 19 (2008) 2, pp. 167-181

Persistent link: https://www.econbiz.de/10005715033

Lunacy in the Stock Market—What is the Evidence?

Herbst, Anthony - In: Journal of Bioeconomics 9 (2007) 1, pp. 1-18

answering whether there is, as some claim, a lunar influence on stock prices or volatility. The findings of this work support … price volatility in the Dow Jones Industrial Average, for either new or full moons. Some effects are found, but not …

Persistent link: https://www.econbiz.de/10005715836

Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey

Kutan, Ali; Aksoy, Tansu - In: Journal of Financial Services Research 23 (2003) 3, pp. 225-239

Persistent link: https://www.econbiz.de/10005715968

Globalization, Financial Volatility and Monetary Policy

Wagner, Helmut; Berger, Wolfram - In: Empirica 31 (2004) 2, pp. 163-184

Persistent link: https://www.econbiz.de/10005719097

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