This article studies U.S. monthly inflation, inflation growth, and price level dynamics from January 1967 to September 2005. Two rolling samples are constructed to recover evidence about instability in inflation, inflation growth, and price level persistence and volatility. Evidence is presented that changes in inflation, inflation growth, and price level persistence and volatility coincide wit...

In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it might be possible to infer the risk neutral default intensity from the stock option prices. Our option price approximation has a rich implied volatility surfac...

This paper illustrates notions of volatility associated with power systems spot prices for electricity. The paper demonstrates a frequency-domain method useful to separate out periodic price variations from random variations. It then uses actual observed price data to estimate parameters such as volatility and the coefficient of mean reversion associated with the random variation of prices. It ...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical result...

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical result...

One obvious and major limitation in the classic Black-Scholes-Merton model is its assumption that the stock price follows a geometric Brownian motion with constant volatility. Even though there is no perfect way to determine the volatility of a stock, one thing we know for sure is that it varies in time in some random fashion. The implication of the constant volatility assumption leads to a log...

Based on the theoretical analysis of financing constraints and stock price volatility, hypothesis “corporate inhibiting corporate volatility” is proposed. After data cleaning, cross-sectional based A-share was used to make an empirical relationship between volatility listed companies in 2018 through regression model. The study found that when relax constraints, due widespread overinvestment, wi...

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where market power is likely to be particularly strong (UK on-peak sessions, the CalPX). Negative co...

We compare the dynamic hedging performance of the deterministic local volatility function approach with the implied/constant volatility method. Using an example in which the underlying price follows an absolute diffusion process, we illustrate that hedge parameters computed from the implied/constant volatility method can have significant error even though the implied volatility method is able t...

Pricing and estimation issues of exponential aÆne stochastic volatility models are discussed. One speci c model is estimated with Chicago Board of Trade futures price data, where the instantaneous mean and volatility of commodity spot price are allowed to be time varying. Model performance is evaluated based on its t to the futures price term structure and the model implied state variable behav...