The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this p...

We propose a family of models for the evolution of the price process [Formula: see text] of a financial market. We model share price and volatility using a two-dimensional system of stochastic differential equations (SDEs) driven by a single Wiener process. We prove that this family of models is well defined and that each model from this family is free of arbitrage opportunities, and it is (sta...

This paper describes an parallel semi-Lagrangian nite diierence approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic tra...

This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. A theoretical model is developed that suggests a set of the conditions that would have to be satisfied for the price of gold to rise over time at the general rate of inflation and hence be an effective long-run hedge against inflation. The model also demonstrates that short-...

We present strong evidence that high differences of opinion stocks earn lower returns around earnings announcements. The evidence is similar across six different proxies for differences of opinion (earnings volatility, return volatility, dispersion of analysts’ earnings forecasts, number of analysts, firm age, and share turnover). The three-day hedge returns (returns on low minus high differenc...

This paper presents an econometric analysis of the effects of price support programs and stocks on price dynamics and price volatility. Considering a price support program as a censoring mechanism, market prices are specified as a dynamic Tobit model with time varying volatility. The model is applied to the U.S. nonfat dry milk market to examine the impact of market liberalization on price dyna...

sharp increase in oil price and the volatility in recent decades have attracted most researchers towards the field of energy. it seems not only the direct oil price, but also the uncertainty caused by the oil price volatility affect the raw oil supply. in this research the effect of oil price volatility on oil supply has been estimated using monthly time series data from january 1980 to septemb...