Browsing Documentos indexados pela Scopus by Subject "Volatilidade (Finanças)"
Now showing items 1-6 of 6
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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 ... -
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 ... -
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 ...
