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hedge funds and CTAs and market volatility. However, a positive relationship between hedge fund and CTA trading volume and … market volatility is consistent with either a private information or noise trader hypothesis. Three additional tests are …
Persistent link: https://www.econbiz.de/10005807878
. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using … feeder cattle implied volatility measures as estimates of stocker cattle futures implied volatility in option pricing models …
Persistent link: https://www.econbiz.de/10005807881
This note studies the volatility of the policy chosen by a committee whose members’ preferences are volatile, due to … volatility of the policy is smaller the smaller the volatility of members’ preferences, smaller the larger the size of the …
Persistent link: https://www.econbiz.de/10005808740
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Sin abstract
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volatility for a sample of 147 countries for the period 1970 to 2005. The study reports that less concentrated countries tend to … have lower rates of output, consumption and investment growth volatility. In addition, while trade and capital account … openness variables alone tend to diminish economic volatility, in concentrated economies opening both the capital and trade …
Persistent link: https://www.econbiz.de/10008502943
The asset allocation decision is often considered as a trade-off between maximizing the expected return of a portfolio and minimizing the portfolio risk. The riskiness is evaluated in terms of variance of the portfolio return, so that it is fundamental to consider correctly the variance of its...
Persistent link: https://www.econbiz.de/10008503062
-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra …
Persistent link: https://www.econbiz.de/10008503160
completely eliminate the impact of aid volatility on investment, but aid is unable to do same with export volatility. Reducing … export volatility is more of a priority for Cameroon than aid volatility. …
Persistent link: https://www.econbiz.de/10008503537