Time-varying volatility
The value premium and time-varying volatility
... return volatility and past idiosyncratic risk, a third explanation to account for the observed positive relation between the value premium and time-varying volatility relates to the idea that ...
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Testing explosive bubbles with time varying volatility
... The three procedures supDF, supBZ and U are applied to each of the six series, with the results given in Table 1, the entries being bootstrap p-values associated with the dif- ferent procedures. First we observe that the ...
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Multivariate option pricing with time varying volatility and correlations
... May 2010 Abstract In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider ...
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Multivariate Option Pricing with Time Varying Volatility and Correlations
... Thus, the results of this section show that correctly taking account of non-Gaussian features in the data is important for all options irrespective of the moneyness and maturity. 6 Conclusion In this paper we consider ...
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Time Varying Volatility and the Cross-Section of Equity Returns
... return volatility and past idiosyncratic risk, a second explanation for the observed cross-sectional pricing of time-varying volatility relates to the possibility that idiosyncratic risk is ...
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Multivariate Option Pricing With Time Varying Volatility and Correlations
... In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this ...
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Empirical test of structural model under time-varying volatility
... incorporated time-varying ...introduced time-varying stochastic volatility into their structural model, Perrakis and Zhong (2013) used constant elasticity variance (CEV), a ...
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Endogenous Time-Varying Volatility and Emerging Market Business Cycles
... Premium Volatility Our working hypothesis is that, besides volatility in TFP, volatility in the debt premium plays a crucial role in driving the business ...calculated volatility in the middle ...
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Time Varying Volatility Modeling of Pakistani and leading foreign stock markets
... Introduction Volatility modeling is one of the leading issue now a days addressed by financial ...of time varying volatility is the elementary purpose of financial econometric ...of ...
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Modelling time-varying volatility in the Indian stock returns: Some empirical evidence
... models time-varying volatility in one of the Indian main stock markets, namely, the National Stock Exchange (NSE) located in Mumbai, investigating whether it has been affected by the recent global ...
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Online estimation of time-varying volatility using a continuous-discrete LMS algorithm
... It is proven, however, in [ 13 ] and [ 14 ] that traditional UKF is ill-suited for the problem of time-varying volatility estimation. Actually, the UKF never updates prior beliefs and, consequently, ...
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Option Pricing with Time Varying Volatility
... Of course the Black-Scholes framework has also several drawbacks which are direct consequences of those assumptions that make it so attractive. One of them comes out from the hypothesis that the logarithmic return of the ...
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The Time Varying Volatility of Macroeconomic Fluctuations
... when these variants are considered, the decline in the variability of GDP growth is once again largely attributed to a reduction in the volatility of investment speci…c technology shocks. 6.4.1. Changes in ...
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The Time Varying Volatility of Macroeconomic Fluctuations
... when these variants are considered, the decline in the variability of GDP growth is once again largely attributed to a reduction in the volatility of investment speci…c technology shocks. 6.4.1. Changes in ...
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Time Varying Volatility in the Indian Stock Market
... high volatility and therefore offers good oppor- tunity to the investors to make safe returns on Sensex and Nifty, and, on the contrary, in the month of Sep- tember, ...the time when third quarter corporate ...
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Option Pricing with Constant & Time Varying Volatility
... constant volatility sends us into territory where it becomes necessary to estimate and forecast volatilities in order to deal with the reality that volatility is in fact time ...of volatility ...
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Estimation and selection of time-varying volatility models
... Interestingly, it is the normal distributed, rather than the t-distributed, EGARCH(1,2,1) model which provides the best forecasts. The ranking is also quite consiste[r] ...
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Time-Varying Volatility and the Dynamic Behavior of the Term Structure
... We investigate: (1) whether or not the model can generate plausible shapes for the yield curve, (2) the relationship between the level of volatility in the bill market and the position a[r] ...
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Quasi Bayesian estimation of time varying volatility in DSGE models
... resulting volatility estimates di¤er from existing approaches in two ...the time variation enters nonparametrically, so that our approach ensures consistent estimation in a wide class of processes, thereby ...
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Time varying volatility and returns on ordinary shares: An empirical investigation
... and volatility may look surprising at first sight, but it is consistent with the empirical and theoretical results of Pagan and Hong (1991), Backus and Gregory (1989) and Glosten, Jaganathan and Runkle (1989) on ...
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