Listagem Produção Intelectual em Bases Externas por Assunto "Volatilidade (Finanças)"
Itens para a visualização no momento 1-15 of 15
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Analysis of the volatility's dependency structure during the subprime crisis
2013-12-01In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation ... -
Avaliação da volatilidade dos contratos futuros do petróleo e derivados antes e após a crise de 2008
2013-09Este artigo analisa o comportamento da volatilidade do petróleo e dos derivados gasolina e diesel antes e após a crise de 2008. Estas três commodities são analisadas com base nos preços dos contratos futuros de curto, médio ... -
Composição de carteiras por mínima variância: comparação com benchmarks de mercado
2016-08Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on ... -
Exchange rate volatility in high inflation economies: an econometric study of Poland and Brazil
1994This paper analyses exchange rate series for Poland and Brazil. The Polish series, related to the period soon after the first liberalizing measures, presents a high volatility which is not accounted for by some selected ... -
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
2018A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ... -
Institutions and economic volatility: Democracy versus risk of expropriation
2009Purpose: The purpose of this paper is to decompose the effects of democracy and risk of expropriation on economic volatility. Design/methodology/approach: The authors follow Acemouglu et al. and use settler mortality in ... -
International market links and volatility transmission
2012-09This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we ... -
A new factor to explain implied volatility smirk
2017In this article, we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Levy process. As an application we show how to price a barrier style contract. -
Omitted asymmetric persistence and conditional heteroskedasticity
2006We show that asymmetric persistence induces ARCH effects, but the LM-ARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence ... -
Options can induce risk taking for arbitrary preferences
2006-04It is widely believed that call options induce risk-taking behavior. However, Ross (2004) challenges this intuition by demonstrating the impossibility of inducing managers with arbitrary preferences to always act as if ... -
O que determina a tomada de decisão financeira: razão ou emoção?
2011It is important to detach that nor all the investors interpret in the same way the relevant information divulged in the market, what can be explained by the following divergent or different conditions: beliefs, values, ... -
Skewed Lévy models and implied volatility skew
2018We introduce skewed Lévy models, characterized by a symmetric jump measure multiplied by a damping exponential factor. These models exhibit a clear implied volatility pattern, where the damping parameter controls the implied ... -
Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation
2005The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ... -
Uncertainty and trade agreements
2015-11We explore conditions under which trade agreements can provide gains by reducing trade policy uncertainty. Given the degree of income risk aversion, this is more likely when economies are more open, export supply elasticities ... -
Volatility and correlation-based systemic risk measures in the US market
2016-10-01This paper deals with the problem of how to use simple systemic risk measures to assess portfolio risk characteristics. Using three simple examples taken from previous literature, one based on raw and partial correlations, ...
