نتایج جستجو برای: volatility
تعداد نتایج: 19433 فیلتر نتایج به سال:
The main goal of this paper is to study market volatility risk premia. I develop a multifactor model by proposing a pricing kernel, where the market return, the diffusion volatility and the jump volatility are fundamental factors that change the investment opportunity set. Based on estimates of the diffusion and jump volatility factors using an enriched dataset including S&P500 index returns, i...
Market microstructure theories suggest that the durations between transactions carry information about volatility. This paper puts forward a model featuring stochastic volatility, stochastic conditional duration, and jumps to analyze high frequency returns and durations. Durations affect price jumps in two ways: as exogenous sampling intervals, and through the interaction with volatility. We ad...
We forecast realized volatility extending the heterogeneous autoregressive model (HAR) to include implied (IV), leverage effect, overnight returns, and of volatility. analyze 10 international stock indices finding that, although a simple HAR augmented with IV (HAR-IV) is more accurate than any excluding it, all markets support further extensions HAR-IV model. More forecasts are found using retu...
I find that stocks with high sensitivities to changes in the V IX slope exhibit high returns on average. The price of V IX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk premium. I provide a theoretical model...
We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phen...
In an organization operating in the bancassurance sector we identified a low-risk IT subportfolio of 84 IT projects comprising together 16,500 function points, each project varying in size and duration, for which we were able to quantify its requirements volatility. This representative portfolio stems from a much larger portfolio of IT projects. We calculated the volatility from the function po...
پیش بینی تلاطم یکی از مهمترین موضوعات مورد مطالعه در بازارهای مالی دنیا است. تلاطم به عنوان یک عامل مؤثر در تعیین ریسک سرمایهگذاری، میتواند نقش مهمی در تصمیمگیری سرمایهگذاران ایفا کند. یک تخمین مناسب از تلاطم قیمت طلا یا داراییهای مالی همچون سکه طلا در یک دورة سرمایهگذاری نقطة آغازین بسیار مهمی در کنترل ریسک سرمایهگذاری است. هدف از تدوین این پژوهش مطالعه و پیشبینی تلاطم در بازد...
generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...
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...
prevail until the options expire. It is possible to form a portfolio of call and put options so that the portfo-lio's payoff is very sensitive to the volatility of the underlying asset but only minimally sensitive to changes in the level of the underlying asset. Traders and investors who frequently buy or sell such portfolios do so with a view of the volatility of the underlying asset that does...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید