Free AccessImportant Keywordshttps://doi.org/10.14220/9783737013444.259SectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack Citations ShareShare onFacebookTwitterLinkedInRedditEmail About Previous chapter Next FiguresReferencesRelatedDetails Download book coverOsnabrücker Studien zur Jüdischen und Christlichen Bibel.Volume 8 1st editionISBN: 978-3-8471-1344-7 eISBN: 978-3-7370-1344-4Hi...

The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as a byproduct a new understanding of the means of returns, of the beta coefficient, and of the Sharpe and Treynor ratios. New estimation techniques from automa...

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the macroeconomic information available (and/or forecasts) is used in the parameter estimation process. Based on...

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that...

We proposed an artificial market model based on deterministic agents which select their action depending on past price changes. Temporal development of market price fluctuations is calculated numerically. Probability density functions of market price changes have power tails. Autocorrelation coefficient of the changes has an anti-correlation, and autocorrelation coefficient of squared changes (...

This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive s...