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Marcelo C. Carvalho,Marco Aurélio S. Freire,Marcelo Cunha Medeiros,Leonardo R. Souza
Pág. pp. 55 - 77
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns s...
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Márcio Gomes Pinto Garcia,Marcelo Cunha Medeiros,Francisco Eduardo de Luna e Almeida Santos
Pág. 319?349
This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue, we build a high frequency database with the most actively traded Brazilian stocks. C...
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Carlos Heitor Campani, Assis Gustavo da Silva Duraes
Pág. 687 - 719
Este artigo avalia o impacto de variáveis exógenas nos modelos GARCH, quando aplicadoàs previsões de volatilidade para o mercado de câmbio brasileiro USD-BRL. Como variáveisexógenas, foram utilizadas a variância realizada, baseada em dados de alta frequê...
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Nahida Akter and Ashadun Nobi
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David E. Allen, Michael McAleer and Marcel Scharth
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Alan De Genaro Dario
Pág. pp. 203 - 228
Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated b...
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Athanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos and Christos Floros
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 Ja...
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Tihana ?krinjaric
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that ...
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Stavros Degiannakis
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic...
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Massimo Guidolin and Manuela Pedio
In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities. The predictive performance relative a standard AR(1) benchm...
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Dimitrios Kartsonakis Mademlis,Nikolaos Dritsakis
Pág. 49 - 60
In several financial applications, it is extremely useful to predict volatility with the highest precision. Neural Networks alongside GARCH-type models have been extensively employed in the last decades for estimating volatility of financial indices. The...
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Leandro dos Santos Maciel,Rosangela Ballini
Pág. 66 - 84
Bitcoin has attracted the attention of investors lately due to its significant market capitalization and high volatility. This work considers the modeling and forecasting of daily high and low Bitcoin prices using a fractionally cointegrated vector autor...
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Luis Fernando Pereira Azevedo,Pedro L. Valls Pereira
Pág. 571 - 630
VIX - Volatility Index - emerged as an alternative calculation of implied volatility in order to mitigate some problems encountered in models of the Black-Scholes. This kind of volatility is seen as the best predictor of future volatility, given that opt...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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Jying-Nan Wang,Yuan-Teng Hsu,Hung-Chun Liu
Pág. 651 - 656
Given the rapid growth of financial markets over the past 20 years, along with the explosive development of financial derivatives, an ever-growing need for accurate and efficient volatility forecasting has emerged. Such forecasts have numerous financial ...
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