Xem 1-20 trên 42 kết quả Volatility estimation
  • Volatility forecasting is crucial for option pricing, risk management and portfolio management. Nowadays, volatility has become the subject of trading. There are now exchange-traded contracts written on volatility. Financial market volatility also has a wider impact on financial regulation, monetary policy and macroeconomy.

    pdf238p greengrass304 14-09-2012 45 20   Download

  • While the stochastic volatility (SV) generalization has been shown to improve the explanatory power over the Black-Scholes model, empirical implications of SV models on option pricing have not yet been adequately tested. The purpose of this paper is to first estimate a multivariate SV model using the efficient method of moments (EMM) technique from observations of underlying state variables and then investigate the respective effect of stochastic interest rates, systematic volatility and idiosyncratic volatility on option prices....

    pdf48p batoan 16-07-2009 170 45   Download

  • Texture, nutritive values and volatile compounds of Lentinula edodes, Pleurotus ostraetus and Pleroutus sajor-caju mushrooms were determined. The volatiles have been found out with an estimation approach by carrying out gas chromatography and mass spectrophotometer (GS–MS) Library Catalogue comparison. Neither regular increase nor decreases were observed for the values of texture, moisture, ash and protein values of L. eddoes.

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  • The estimation of emissions largely depends on the quality of emission factors used for calculation. The study on the estimation of emission factors is important for calculating the emission of air pollutants from road traffic in Ho Chi Minh City (HCMC). The result of this study is the selection of a suitable method and tracer for estimating emission factors of 15 volatile organic compounds (VOCs) from C2-C6 and NOx from road traffic in HCMC. The survey has been carried out in 3/2 Street, District 10, HCMC from January to March 2007. Three VOCs compounds with high average emission...

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  • .Page i Valuation Measuring and Managing the Value of Companies .Page ii WILEY FINANCE Advanced Fixed-Income Valuation Tools, Narasimham Jegadeesh and Bruce Tuckman Beyond Value at Risk, Kevin Dowd Buying and Selling Volatility, Kevin B. Connolly Chaos and Order in the Capital Markets: New View of Cycles, Prices, and Market Volatility, Second Edition, Edgar E. Peters Corporate Financial Distress and Bankruptcy, Second Edition, Edward I.

    pdf508p leetinh 29-10-2012 114 66   Download

  • It is a pleasure to edit the second volume of papers presented at the Mathematical Finance Seminar of New York University. These articles, written by some of the leading experts in financial modeling cover a variety of topics in this field. The volume is divided into three parts: (I) Estimation and Data-Driven Models, (II) Model Calibration and Option Volatility and (III) Pricing and Hedging. The papers in the section on "Estimation and Data-Driven Models" develop new econometric techniques for finance and, in some cases, apply them to derivatives.

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  • Coastal wetlands throughout the Great Lakes has been recognized as important areas for fish production. These wetlands contribute large numbers of prey species, sport and commercial Large lake fisheries (Herdendorf et al 1986; Herdendorf 1987). Estimates vary on the number of species use the coastal wetlands in the Great Lakes. Whillans (1987) estimated that over 90% about 200 species of fish in the Great Lakes are dependent on wetlands for at least some part of their life cycle while Jude and Pappas (1992) found 47 species closely related to coastal wetlands....

    pdf63p lulanphuong 28-03-2012 37 6   Download

  • Inadvertent fetal exposure to contraceptive hormones is common, with a USA study estimating that approximately 70 000 fetuses are exposed to oral contraceptives annually.23 Most of the data on fetal outcomes relate to COC. The CEU found no studies that specifically assessed exposure through quick starting contraception. Studies are often limited by their observational nature, potential confounding factors and small sample size. Reassuringly there have been no consistent findings of specific fetal abnormalities.

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  • One of the reasons private crop insurance markets have not developed is the relatively low demand for crop insurance. Despite large subsidies in the United States, crop insurance participation historically has been relatively low. Farmers and ranchers use a variety of risk management strategies to mitigate the risks they face (Harwood, Heifner, Coble, Perry, and Somwaru, 1999; U.S. GAO, 1999), many of which compete with crop insurance. These include futures and options markets, contracting, cultural practices that reduce crop loss (e.g.

    pdf10p quaivatxanh 29-11-2012 29 5   Download

  • The last two explanatory variables are control variables, while the remaining variables are the corporate governance variables that we discussed in Section VA. As discussed in Section II, the signs of most of these variables are empirical issues, so we use the observed signs to interpret our results. The top section of Table 7 shows estimates of four variants of equation (6) for the full sample.

    pdf185p bin_pham 06-02-2013 22 5   Download

  • A number of OECD countries experienced an environment of low interest rates and a rapid increase in housing market activity during the last decade. Previous work suggests three potential explanations for these events: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with inappropriately lax financial regulation. In this study we examine the effects of these three factors on the housing market.

    pdf0p taisaovanchuavo 23-01-2013 15 4   Download

  • Provisions are recognized when the Group has a present obligation as a result of a past event, it is probable that an outflow of resources will be required to settle the obligation and a reliable estimate can be made of the amount of the obligation.This obligation may be legal or constructive, deriving from inter alia regulations, contracts, normal practices or public commitments that lead third parties to reasonably expect that the Group will assume certain responsibilities.

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  • Furthermore, Swinburne’s figures by LGA were an average for flats and houses: these figures were likely to over-state rentals for flats and under-state them for houses. For the missing years, estimated rentals were derived by interpolation. In a revision of this paper, the estimated rentals will be recast as yield-based in an effort to improve accuracy.

    pdf19p quaivatxanh 01-12-2012 22 3   Download

  • Organic agriculture offers developing countries a wide range of economic, environment, social and cultural benefits. Global markets for certified organic products have been growing rapidly over the past two decades. In 2006, global certified organic sales were estimated to have reached over 30 billion Euros, a 20 per cent increase over 2005, and are expected to increase to 52 billion Euros by 2012 (UNEP-UNCTAD, 2008). While most sales are in North America and Europe, production is global with developing countries producing and exporting ever-increasing shares.

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  • In order to address this question, this paper seeks to take a closer look at the nature and determinants of competition within the EAC banking sector. Our main objective is to empirically estimate the degree of competition in the EAC banking systems. We do this by estimating two nonstructural measures of bank pricing behavior, the Lerner index and the Panzar and Rosse H-statistic.

    pdf10p machuavo 19-01-2013 18 3   Download

  • The WHO has estimated that environmental exposures contribute to 19% of cancer incidence worldwide. 6 Additionally, a WHO Global Health Risks report looked at five environmental exposures, (unsafe water, sanitation and hygiene, urban outdoor air pollution, indoor smoke from solid fuels, lead exposure and climate change), and estimated they account for nearly 10% of deaths and disease burden globally and around one quarter of deaths and disease burden in children under the age of five.

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  • Physical damage functions relating health (mortality and morbidity) to air pollution levels have been estimated over a number of years in different countries. Although the net effect of pollutants on health is unclear, the Committee of the Medical Effects of Air Pollution (COMEAP), set up by the UK government has found the strongest link between health and pollution to be for particulates (PM10), sulphur dioxide (SO2) and ozone (O3) (Department of Health, 1998).

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  • Our methodology is based on a dynamic stochastic general equilibrium (DSGE) calibrated model augmented with endogenous market structures in line with recent developments in the macroeconomic literature (see Etro, 2009, for a survey). This model is perturbed with a realistic structural change to the cost structure, with the purpose to study the short and long term reactions of the economy. Therefore, our methodology is based on a solid theoretical framework and provides results that can be easily replicated by economists. However, it has some limitations that we need to point out.

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  • The Cisco® Visual Networking Index (VNI) Global Mobile Data Traffic Forecast Update is part of the comprehensive Cisco VNI Forecast, an ongoing initiative to track and forecast the impact of visual networking applications on global networks. This paper presents some of Cisco’s major global mobile data traffic projections and growth trends. Executive Summary The Mobile Network in 2011 and 2012 Global mobile data traffic grew 2.3-fold in 2011, more than doubling for the fourth year in a row. The 2011 mobile data traffic growth rate was higher than anticipated.

    pdf29p bin_pham 05-02-2013 23 3   Download

  • One of the core tenets of Scrum is that the duration of the Sprint is never extended – it ends on the assigned date regardless of whether the team has completed the work it committed to. If the team has not completed their Sprint Goal, they have to stand up at the end of the Sprint and acknowledge that they did not meet their commitment. The idea is that this creates a very visible feedback loop, and teams are forced to get better at estimating what they are capable of accomplishing in a given Sprint, and then delivering it more...

    pdf6p lenh_hoi_xung 21-02-2013 17 3   Download

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