ECONOMICS UNDERSTANDING WORLD COMMODITY PRICES Returns , Volatility and Diversification by Mei - Hsiu Chen Business School
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منابع مشابه
Stock (Mis) Pricing and Diversification in Africa: Evidence from Selected African Exchanges
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Regarding the fact that each country might be a net oil seller or net buyer, and considering its large share in the whole economy, the price of this commodity as well as its volatility could affect all economies around the world. The impact of oil price volatility on the economy is seemed to be more dominant in Iran rather than any other developed or emerging economies, especially in recent ye...
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In this paper we suggest a unified framework to predict the mean and volatility of stock log-returns from option prices adjusted for risk premium effects, which is free from any option pricing model. Based on this, the paper shows that both the physical mean and volatility do not correspond one-to-one to their risk neutral cumulants but depend on higher order cumulants, such as the third and th...
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تاریخ انتشار 2009