搜索结果: 1-15 共查到“理论经济学 volatility”相关记录92条 . 查询时间(0.148 秒)
We investigate the relationship between foreign direct ownership of firms and firm- and regionhighly robust, relationship between firm-level foreign ownership and volatility of value...
Income Volatility and Household Consumption: The Impact of Food Assistance Programs
Income Volatility and Household Consumption Food
2015/7/23
The impact of food assistance programs (food stamps) in a period of rising income inequality in
the US is analyzed using 1978-1992 PSID data. We assess to what extent food assistance can be
viewed...
Volatility and growth: Credit constraints and the composition of investment
Growth Volatility Credit constraints
2015/7/21
How does uncertainty and credit constraints affect the cyclical composition of
investment and thereby volatility and growth? This paper addresses this question
within a model where firms engag...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
Superreplication under Volatility Uncertainty for Measurable Claims
Volatility uncertainty Superreplication Nonlinear expectation
2012/9/14
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
Local L関y Models and their Volatility Smile
CEV L磂vy Local Volatility Implied Volatility Default
2012/9/14
We propose a class of equity models whose volatility, L磂vy measure, and killing rate all have local stochastic state-dependence. In this framework we find a closed form solution for the price of any E...
The Exact Smile of some Local Stochastic Volatility Models
CEV local volatility stochastic volatility implied volatility.
2012/9/14
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...
A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
The Exact Implied Volatility Smile for Exponential L関y Models
Implied Volatility Exponential L磂vy.
2012/9/14
For any exponential L磂vy model whose diffusion component isnonzero, we provide an exact series representation for the implied volatility of a European call option. Numerical examples are provided.
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today’s volatility can be expressed as a gen...
Stochastic Volatility with Heterogeneous Time Scales
Stochastic Volatility Long Memory Generalized Methods of Moments Econo-physics
2012/9/13
Agents' heterogeneity has been recognized as a driver mechanism for the persistence of nancial volatility. We focus on the multiplicity of investment strategies' horizons;we embed this concept in a c...