Volatility models

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  • 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....

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  • ADVANCED TEXTS IN ECONOMETRICS General Editors Manuel Arellano Guido Imbens Grayham E. Mizon Adrian Pagan Mark Watson Advisory Editor C. W. J. Granger.Other Advanced Texts in conometrics ARCH: Selected Readings Edited by Robert F. Engle Asymptotic Theory for Integrated Processes By H. Peter Boswijk Bayesian Inference in Dynamic Econometric Models By Luc Bauwens, Michel Lubrano, and Jean-Fran¸ois Richard c Co-tegration, Error Correction, and the Econometric Analysis of Non-Stationary Data By Anindya Banerjee, Juan J. ...

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  • The aim of this textbook is to provide a step-by-step guide to financial econometrics using EViews 6.0 statistical package. It contains brief overviews of econometric concepts, models and data analysis techniques followed by empirical examples of how they can be implemented in EViews. This book is written as a compendium for undergraduate and graduate students in economics and finance. It also can serve as a guide for researchers and practitioners who desire to use EViews for analysing financial data.

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  • Continuous-time modeling in finance, though introduced by Louis Bachelier's 1900 thesis on the theory of speculation, really started with Merton's seminal work in the 1970s. Since then, the continuous-time paradigm has proved to be an immensely useful tool in finance and more generally economics. Continuous-time models are widely used to study issues that include the decision to optimally consume, save, and invest, portfolio choice under a variety of constraints, contingent claim pricing, capital accumulation, resource extraction, game theory, and more recently contract theory....

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  • Further, solid matrices that are not amenable to the use of a coring technique should be collected in such a way as to preserve their integrity. Transferring of these solids with spatulas or similar devices into sampling containers is discouraged as this disrupts the sample pore spaces and greatly increases the sample surface area available for volatilization. For soil piles, fresh (unexposed), soil at an adequate depth (representative of concentrations from the interior of the pile) should be sampled.

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  • Chapter 9 - Modelling volatility and correlation. In this chapter, you will learn how to: Discuss the features of data that motivate the use of GARCH models, explain how conditional volatility models are estimated, test for ‘ARCH-effects’ in time series data, produce forecasts from GARCH models, contrast various models from the GARCH family,...

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  • Expected asset risk measures are needed to construct optimal portfolios, plan for retirement, value equities and options, and forecast corporate cash flow distributions. In this lecture, students will: Compute asset return variance and standard deviation, scale standard deviations across time, compute moving average volatility, compute volatility using EWMA models, compute implied volatility using the black-scholes option pricing model.

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  • After completing this unit, you should be able to: Value options using historical vol, moving average vol (MAV), exponentially weighted moving average (EWMA), and generalized autoregressive conditional heteroskedasticity (GARCH); calculate option model implied volatility surfaces -- time skew (a.k.a. terms structure of volatility), and strike skew (Smiles and Smirks); understand what volatility surfaces reveal about option prices, volatility, and the models.

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  • The focus in this book is on the study of market risk from a quantitative point of view. The emphasis is on presenting commonly used state-of-the-art quantitative techniques used in finance for the management of market risk and demonstrate their use employing the principal two mathematical programming languages, R and Matlab. All the code in the book can be downloaded from the book’s website at www.financialrisk forecasting.com

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  • Characterizing the nature of heavy metal release reactions, sorption mechanisms, and movement in the soil is the main topic of this book. Because soils are heterogeneous, heavy metals in soils can be involved in a series of complex chemical and biological interactions including oxidation-reduction, precipitation and dissolution, volatilization, and surface and solution phase complexation. The heterogeneous nature of the different soil constituents adds to the complexity of interactions of heavy metal species with the soil environment....

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  • 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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  • Driven by the necessity to incorporate the observed stylized features of asset prices, continuous-time stochastic modeling has taken a predominant role in the financial literature over the past two decades. Most of the proposed models are particular cases of a stochastic volatility component driven by a Wiener process superposed with a pure-jump component accounting for the

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  • The retail trade has developed a system (without consulting the banking sector) which makes payments by bank card possible without any authorisation. This system is known as the electronic direct debit system (ELV). The customer’s signature on the receipt or an additional document authorises the dealer to collect the cost of the purchase by direct debit. However, the risks of a direct debit being returned on account of an objection or lack of cover, or possibly because the card has been blocked, are borne solely by the retail outlet.

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  • Given the considerable variation in deposit insurance arrangements and the relatively large number of banking crises, it is possible to use this panel to test whether the nature of the deposit insurance system has a significant impact on the probability of a banking crisis once other factors are controlled for. We carry out these tests using the multivariate logit econometric model developed in our previous work on the determinants of banking crises (Demirg†e-Kunt and Detragiache, 1998).

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  • 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.

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  • We build a two-country general equilibrium model of exchange rates that features two roles for nontraded goods: as ¯nal consumption and as an input into the production of ¯nal tradable goods (retail services). In addition to retail services, ¯nal tradable goods require the use of local and imported intermediate traded inputs. Intermediate traded goods and nontraded goods are produced using local labor and capital services. Thus, our model has an input-output structure (as in Obstfeld, 2001), where the output of some sectors is used as an input to the production of ¯nal goods.

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  • Web search engine: Markov chain theory Data Mining, Machine Learning: Data mining, Machine learning: Stochastic gradient, Markov chain Monte Carlo, Image processing: Markov random fields, Design of wireless communication systems: random matrix theory, Optimization of engineering processes: simulated annealing, genetic algorithms, Finance (option pricing, volatility models): Monte Carlo, dynamic models, Design of atomic bomb (Los Alamos): Markov chain Monte Carlo.

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  • These guidelines specify standard appraisal procedures for Japanese real estate appraisers (the only profession that is licensed and registered by the government by law. Hereinafter “Japanese Appraisers”) to appraise overseas real estate for investment purposes. As the globalization of the real estate market progresses, cross-border real estate investment is gaining momentum. In addition, real estate investment trust (REIT) markets have been set up in the past few years, and international competition in real estate markets is heightening rapidly....

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  • A midwife’s focus is to enable all women and their families to have a positive and safe experience of pregnancy, birth and early parenting. A social model of maternity care where women, rather than the organisation, are at the centre is a key feature of midwifery-led care20. Women value care that is personalised and coordinated by a midwife they know and trust and should be offered a choice of place of birth taking account of individual needs, risks and circumstances. One-to-one support in established labour results in better outcomes for women and this is a key role of the midwife.

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  • In order to establish the preferred shopping places for food, consumers were asked to indicate what shop they traditionally buy their groceries from. Six places were identified from past research as: supermarket, spaza shops (which are common in rural areas), Grocery stores, Farmers markets such as the Kei Fresh produce in Mthatha or the farmers market in Wilsonia, East London, Street vendors or the farm gate. Respondents’ were free to mark all the choices. An overwhelming majority of the respondents, 96% in the Transkei and 89.

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