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Tag volatility [52 articles]

Recent papers classified by the tag volatility.
  • An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
    The Journal of Business, Vol. 61, No. 3. (1988), pp. 275-298.
    by Sanford J Grossman
    posted to volatility strategies price hedging by yanshanxiao on 2008-09-23 09:13:16 as **
  • Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility
    by Tim Bollerslev, Hao Zhou
    posted to estimating measuring risk volatility by ththao on 2007-08-27 15:36:32 as *****
  • notes Investigation of etching properties of metal nitride/high-k gate stacks using inductively coupled plasma
    Vol. 23, No. 4. (2005), pp. 964-970.
    by Wan S Hwang, Jinghao Chen, Won J Yoo, Vladimir Bliznetsov
    posted to etching hbr-cl2-o2 hfn icp nitrogen optical-emission-spectroscopy tan tin volatility by these_morel on 2006-02-17 15:42:40 as read along with 1 group LTM_LETI_etching
  • Plasma etching: principles, mechanisms, application to micro- and nano-technologies
    Applied Surface Science, Vol. 164, No. 1-4. (1 September 2000), pp. 72-83.
    by Christophe Cardinaud, Marie-Claude Peignon, Pierre-Yves Tessier
    posted to introduction metal volatility by these_morel on 2008-07-18 12:38:24 as **
  • VLSI Fabrication Principles: Silicon and Gallium Arsenide, 2nd Edition
    (14 March 1994)
    by Sorab K Ghandhi
    posted to introduction volatility by these_morel on 2008-07-18 10:44:54 as **
  • Volatility conditional on price trends
    (28 Jan 2005)
    by Gilles Zumbach
    posted to volatility by Scis0000002 on 2007-12-06 00:09:21 as **
  • Parametric and Nonparametric Volatility Measurement
    by Torben G Andersen, Tim Bollerslev, Francis X Diebold
    posted to nonparametricity parametricity volatility by Scis0000002 on 2007-12-17 00:11:22 as **
  • Volatility and Risk Estimation with Linear and Nonlinear Methods Based on High Frequency Data
    by Marcel Dettling, Peter Bühlmann
    posted to linearity nonlinearity volatility by Scis0000002 on 2007-12-17 00:03:11 as **
  • Beyond implied volatility:extracting information from option prices
    (1997)
    by R Cont
    posted to information-extraction options volatilities volatility by Scis0000002 on 2007-12-16 15:29:47 as **
  • Dynamics of implied volatility surfaces
    (2001)
    by R Cont, J da Fonseca
    posted to dynamics surfaces volatility by Scis0000002 on 2007-12-14 01:14:17 as **
  • On a multi-timescale statistical feedback model for volatility fluctuations
    ArXiv Physics e-prints (July 2005)
    by L Borland, Bouchaud
    posted to volatility by Scis0000002 on 2007-12-20 00:35:00 as **
  • The fractional volatility model: An agent-based interpretation
    ArXiv e-prints, Vol. 706 (June 2007)
    by Vilela R Mendes
    posted to fractional volatility by Scis0000002 on 2007-12-13 23:42:58 as **
  • Volatility Spillovers Across Equity Markets: European Evidence
    by A Kanas
    posted to equities markets volatilities volatility by Scis0000002 on 2007-12-15 21:40:04 as **
  • On the Relationship Between Growth and Volatility in Learning-by-Doing Economies
    by Keith Blackburn, Alessandra Pelloni
    posted to growth volatility by Scis0000002 on 2007-12-18 14:19:11 as **
  • Market volatility and feedback effects from dynamic hedging
    (1996)
    by R Frey, A Stremme
    posted to dynamic-hedging feedback hedging volatility by Scis0000002 on 2007-12-28 19:57:16 as **
  • Calibrating volatility surfaces via relative-entropy minimization
    Appl. Math. Finance, Vol. 4, No. 1. (1997), pp. 37-64.
    by M Avellaneda, C Friedman, R Holmes, D Samperi
    posted to calibrating entropies entropy relative-entropy surfaces volatility by Scis0000002 on 2007-12-14 01:11:34 as ** along with 1 person scis0000001
  • The economic value of volatility timing
    (1999)
    by J Fleming, C Kirby, B Ostdiek
    posted to timing volatility by Scis0000002 on 2007-12-16 23:48:35 as **
  • On the volatility of volatility
    Physica A Statistical Mechanics and its Applications, Vol. 380 (July 2007), pp. 366-376.
    by SDH Hsu, BM Murray
    posted to volatility by Scis0000002 on 2007-12-27 14:54:54 as **
  • Intraday dynamics of stock market returns and volatility
    Physica A: Statistical Mechanics and its Applications, Vol. 367 (15 July 2006), pp. 375-387.
    by Faruk Selcuk, Ramazan Gencay
    posted to dynamics intraday returns volatility by Scis0000002 on 2007-12-18 14:02:48 as ** along with 1 person bigbossman
  • Deformation of implied volatility surfaces: an empirical study
    (2001), pp. 230-239.
    by R Cont, J da Fonseca
    edited by H Takayasu
    posted to implied-volatility surfaces volatility by Scis0000002 on 2007-12-13 14:34:57 as **
  • Volatility Estimation on the Basis of Price Intensity - An Empirical Analysis of Bund Future Intraday Transaction Data
    by Frank Gerhard, Nikolaus Hautsch
    posted to intraday volatility by scis0000001 on 2007-04-06 02:27:43 as **
  • A symbolic dynamics approach to volatility prediction
    (1999)
    by P Tino, C Schittenkopf, G Dorffner, E Dockner
    posted to prediction symbolic-dynamics volatility by scis0000001 on 2007-04-06 13:37:10 as **
  • Support Vector Machine as an Efficient Framework for Stock Market Volatility Forecasting
    Computational Management Science, Vol. 3, No. 2. (17 April 2006), pp. 147-160.
    by Valeriy V Gavrishchaka, Supriya Banerjee
    posted to prediction svm volatility by scis0000001 on 2007-04-01 16:33:10 as ** along with 1 person Scis0000002
  • Bayesian analysis of stochastic volatility models
    (1994)
    by E Jacquier, N Polson, P Rossi
    posted to time-series volatility by rpadams on 2006-01-18 12:07:56 as *
  • Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, Vol. 14, No. 2. (April 2006), pp. 193-208.
    by Mingshu Hua, Yin-Feng Gau
    posted to fx garch volatility by RobHayward on 2006-04-10 21:46:16 as **
  • Pricing currency options in the presence of time-varying volatility and non-normalities
    Journal of Multinational Financial Management, Vol. 16, No. 3. (July 2006), pp. 291-314.
    by GC Lim, GM Martin, VL Martin
    posted to option volatility by RobHayward on 2006-05-21 07:58:34 as **
  • Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market
    Pacific-Basin Finance Journal, Vol. 14, No. 2. (April 2006), pp. 135-154.
    by Eric C Chang, Sen Dong
    posted to finance volatility by RobHayward on 2006-04-10 21:45:21 as **
  • Return and volatility linkages between the US and the German stock market
    Journal of International Money and Finance, Vol. 25, No. 4. (June 2006), pp. 598-613.
    by Dirk Baur, Robert C Jung
    posted to finance flow fx volatility by RobHayward on 2006-06-23 07:20:22 as **
  • Dynamics of realized volatilities and correlations: An empirical study
    Journal of Banking & Finance, Vol. 30, No. 7. (July 2006), pp. 2109-2130.
    by Rene Ferland, Simon Lalancette
    posted to garch volatility by RobHayward on 2006-06-13 06:42:38 as **
  • Are stock prices too volatile to be justified by the dividend discount model?
    Physica A: Statistical and Theoretical Physics, Vol. In Press, Uncorrected Proof
    by Levent Akdeniz, Aslihan A Salih, Suleyman T Ok
    posted to emh finance volatility by RobHayward on 2006-12-01 08:46:01 as **
  • Time and dynamic volume-volatility relation
    Journal of Banking & Finance, Vol. 30, No. 5. (May 2006), pp. 1535-1558.
    by Eleanor, Peter Chen, Chunchi Wu
    posted to finance markets trading volatility by RobHayward on 2006-04-20 06:52:41 as ** along with 1 person hirose30
  • Macroeconomic announcements and asymmetric volatility in bond returns
    Journal of Banking & Finance, Vol. 30, No. 10. (October 2006), pp. 2659-2680.
    by Peter de Goeij, Wessel Marquering
    posted to emh expectations finance volatility by RobHayward on 2006-08-26 19:35:59 as **
  • The longer-horizon predictability of German stock market volatility
    International Journal of Forecasting, Vol. 22, No. 2. ( 2006), pp. 363-372.
    by Burkhard Raunig
    posted to garch volatility by RobHayward on 2006-05-02 20:52:08 as **
  • Option-implied risk preferences: An extension to wider classes of utility functions
    Journal of Financial Markets, Vol. 9, No. 2. (May 2006), pp. 180-198.
    by Byung J Kang, Tong S Kim
    posted to options volatility by RobHayward on 2006-05-04 19:56:22 as **
  • Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options
    International Review of Financial Analysis, Vol. 15, No. 2. (2006), pp. 145-178.
    by Gianluca Cassese, Massimo Guidolin
    posted to options smile volatility by RobHayward on 2006-04-28 08:50:07 as **
  • Volatility: A hidden Markov process in financial time series
    Physical Review E (Statistical, Nonlinear, and Soft Matter Physics), Vol. 76, No. 5. (2007)
    by Zoltán Eisler, Josep Perelló, Jaume Masoliver
    posted to finance markov series stochastic time timeseries volatility by pdlug on 2007-12-04 18:24:42 as ** along with 1 person hugoduncan
  • Bias polarity dependent data retention of resistive random access memory consisting of binary transition metal oxide
    Applied Physics Letters, Vol. 89, No. 10. (2006)
    by K Kinoshita, T Tamura, M Aoki, Y Sugiyama, H Tanaka
    posted to nickel oxide resistance-switch volatility by mpickett on 2008-04-01 22:37:11 as read
  • Stock return variances : The arrival of information and the reaction of traders
    Journal of Financial Economics, Vol. 17, No. 1. (September 1986), pp. 5-26.
    by Kenneth R French, Richard Roll
    posted to volatility trading-hours non-trading-hours informed-trader by ltzehua on 2008-09-15 03:34:45 as **
  • Power and Bipower Variation with Stochastic Volatility and Jumps
    JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 2, No. 1. (1 January 2004), pp. 1-37.
    by Ole E Barndorff-Nielsen, Neil Shephard
    posted to estimation finance stochastic-calculus volatility by lehalle on 2008-07-14 23:15:15 as read
  • MICROSTRUCTURE NOISE, REALIZED VARIANCE, AND OPTIMAL SAMPLING
    Journal of Financial Econometrics, Vol. 5, No. 1. (2007), pp. 68-104.
    by Federico M Band, Jeffrey R Russell
    posted to finance high-frequency statistics volatility by lehalle on 2008-07-20 19:17:28 as read
  • Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models
    Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 64, No. 2. (2002), pp. 253-280.
    by Ole, Neil Shephard
    posted to estimation finance volatility by lehalle on 2008-06-15 15:48:10 as read
  • notes Wikipedia risks
    Commun. ACM, Vol. 48, No. 12. (December 2005), pp. 152-152.
    by Peter Denning, Jim Horning, David Parnas, Lauren Weinstein
    posted to criticisms risk volatility wikigroaning wikipedia by krisl on 2008-07-24 20:48:00 as ** along with 5 people and 1 group jfelipe amirmz vulpeto cradle25 dullhunk Social Web
  • Statistical properties of the volatility of price fluctuations
    Physical Review E, Vol. 60, No. 2. (1999), 1390.
    by Yanhui Liu, Parameswaran Gopikrishnan, Cizeau, Meyer, Peng, Eugene H Stanley
    posted to volatility high-frequency finance by cosy to the group EntrepreneurialRisks on 2007-04-03 15:04:03 as **
  • Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
    The American Economic Review, Vol. 71, No. 3. (1981), pp. 421-436.
    by Robert J Shiller
    posted to excess finance impact move price volatility by gi0rgi0ne on 2008-02-14 11:43:00 as ** along with 1 person csbliu
  • Variety and volatility in financial markets
    Physical Review E, Vol. 62, No. 5. (November 2000), 6126.
    by Fabrizio Lillo, Rosario N Mantegna
    posted to markets volatility by bigbossman on 2006-11-02 20:36:25 as read
  • Clustering of volatility as a multiscale phenomenon
    The European Physical Journal B - Condensed Matter and Complex Systems, Vol. V16, No. 1. (1 July 2000), pp. 195-201.
    by M Pasquini, M Serva
    posted to clustering multiscale volatility by bigbossman on 2006-11-02 20:38:55 as read
  • Multiscaling and clustering of volatility
    pp. 140-147.
    by M Pasquini
    posted to clustering multiscale volatility by bigbossman on 2006-11-02 20:40:05 as read
  • A data-reconstructed fractional volatility model
    (26 Jun 2007)
    by Rui V Mendes, MJ Oliveira
    posted to volatility by bigbossman on 2007-06-28 13:01:13 as **
  • There's more to volatility than volume
    (2 Oct 2005)
    by Laszlo Gillemot, Doyne J Farmer, Fabrizio Lillo
    posted to data-analysis econophysics leonidov volatility by ansobol on 2005-11-23 18:31:42 as **
  • A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
    by Steven L Heston
    posted to finmath volatility by alexv on 2007-06-07 15:48:17 as ** along with 2 people danfcook lehalle
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