RobHayward's volatility [28 articles] Export

Recent papers added to RobHayward's library classified by the tag volatility. You can also see everyone's volatility.

	Mandelbrot and the Stable Paretian Hypothesis [My Copy] The Journal of Business, Vol. 36, No. 4. (1963), pp. 420-429. by Eugene F. Fama posted to volatility risk finance econometrics by RobHayward on 2009-10-09 09:29:19 as along with 1 person skheller
	The value of coskewness in mutual fund performance evaluation [My Copy] Journal of Banking & Finance, Vol. 33, No. 9. (September 2009), pp. 1664-1676. by David Moreno, Rosa Rodríguez posted to risk volatility by RobHayward on 2009-06-05 08:48:12 as
	Bubbles and Crises [My Copy] The Economic Journal, Vol. 110, No. 460. (2000), pp. 236-255. by Franklin Allen, Douglas Gale posted to bubble noise sentiment volatility by RobHayward on 2009-05-20 12:22:19 as
	Empirical properties of asset returns: stylized facts and statistical issues [My Copy] Quantitative Finance, Vol. 1, No. 2. (2001), pp. 223-236. by R. Cont posted to emh finance nonlinear tails time-series volatility by RobHayward on 2009-01-02 10:16:41 as along with 1 person pjaiprak
	Hedge Funds: Risk and Return [My Copy] Financial Analysts Journal, Vol. 61, No. 6. (November 2005), pp. 80-88. by Burton Malkiel, Atanu Saha posted to finance hedge volatility by RobHayward on 2008-08-12 21:43:06 as
	Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? [My Copy] Vol. 59, No. 2. (April 2004), pp. 711-753. by Nicolas P. B. Bollen, Robert E. Whaley posted to options smile volatility by RobHayward on 2008-03-03 21:10:12 as along with 1 person and 1 group wanni assetpricing
	Are stock prices too volatile to be justified by the dividend discount model? [My Copy] 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
	Macroeconomic announcements and asymmetric volatility in bond returns [My Copy] 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
	Return and volatility linkages between the US and the German stock market [My Copy] 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
	Resolving Macroeconomic Uncertainty in Stock and Bond Markets [My Copy] NBER Working Paper No. 12270 by Alessandro Beber, Michael W. Brandt posted to expectations finance flow options volatility by RobHayward on 2006-06-13 06:54:09 as
	Dynamics of realized volatilities and correlations: An empirical study☆ [My Copy] Journal of Banking & Finance In Special Section: Banking and Finance in an Integrating Europe, Vol. 30, No. 7. (July 2006), pp. 2109-2130. by R. Ferland, S. Lalancette posted to garch volatility by RobHayward on 2006-06-13 06:42:38 as along with 1 person cmarkopoulou
	Pricing currency options in the presence of time-varying volatility and non-normalities [My Copy] Journal of Multinational Financial Management, Vol. 16, No. 3. (July 2006), pp. 291-314. by G. C. Lim, G. M. Martin, V. L. Martin posted to option volatility by RobHayward on 2006-05-21 07:58:34 as
	A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket [My Copy] Working Paper No. 06/105 by Renzo G. Avesani, Garcia, Jing Li posted to option volatility by RobHayward on 2006-05-15 20:51:09 as
	Stock Price Clustering on Option Expiration Dates [My Copy] AFA 2005 Philadelphia Meetings by Sophie X. Ni, Neil Pearson, Allen Poteshman posted to options volatility by RobHayward on 2006-05-11 11:24:49 as
	A risk index for euro-denominated assets [My Copy] Nationalbanken // Publications // Publication // WP 36/2006: by Jakob L. Hansen posted to emu risk volatility by RobHayward on 2006-05-09 07:33:47 as
	Option-implied risk preferences: An extension to wider classes of utility functions [My Copy] 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
	The longer-horizon predictability of German stock market volatility [My Copy] 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
	Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options [My Copy] 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
	Time and dynamic volume-volatility relation [My Copy] 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 Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk [My Copy] by Refet posted to options risk volatility by RobHayward on 2006-04-18 16:09:31 as
	Implied volatility of foreign exchange options: is it worth tracking? [My Copy] No 2005/39, MNB Occasional Papers from Magyar Nemzeti Bank (The Central Bank of Hungary) by Áron Gereben, And K. Pintér posted to fx garch volatility by RobHayward on 2006-04-15 10:21:46 as
	Stochastic Volatility [My Copy] No 2005-W17, Economics Papers from Economics Group, Nuffield College, University of Oxford by Neil Shephard posted to garch volatility by RobHayward on 2006-04-15 10:13:58 as
	Recovering Market Expectations of FOMC Rate Changes with Options on Federal Funds Futures. [My Copy] Federal Reserve Bank of Cleveland Working Paper 05/07 by John posted to option sentiment smile volatility by RobHayward on 2006-04-11 20:50:33 as
	Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market [My Copy] 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
	Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market [My Copy] 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
	EconPapers: Common Functional Implied Volatility Analysis [My Copy] by Michal Benko, Wolfgang Härdle posted to options smile volatility by RobHayward on 2006-04-08 18:45:47 as
	EconPapers: Fractional Diffusion Models of Option Prices in Markets with Jumps [My Copy] by Álvaro Cartea posted to options smile volatility by RobHayward on 2006-04-08 18:29:24 as
	EconPapers: STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES [My Copy] by Kazuhiko, Tatsuro, Moo-Sung posted to garch options volatility by RobHayward on 2006-04-08 18:24:44 as

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RobHayward's volatility [28 articles] Export

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