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Cotter, John - 2006

Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is … understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a … such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An …

Persistent link: https://www.econbiz.de/10009475685

Anwendungsorientierte Grundlagenforschung und produktorientierte Anwendungsforschung als Spekulationsgeschäft - ein Anwendungsfall für die Optionspreistheorie

Schultheiß, Rainer - 2000

Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen …

Persistent link: https://www.econbiz.de/10009467496

Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange

Henke, Harald - 2004

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

Persistent link: https://www.econbiz.de/10009460735

Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility

Haberer, Markus - 2006

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

Persistent link: https://www.econbiz.de/10009471738

Estimating genotypic correlations and their standard errors using multivariate restricted maximum likelihood estimation with SAS Proc MIXED.

Holland, J.B. - 2006

Plant breeders traditionally have estimated genotypic and phenotypic correlations between traits using the method of moments on the basis of a multivariate analysis of variance (MANOVA). Drawbacks of using the method of moments to estimate variance and covariance components include the...

Persistent link: https://www.econbiz.de/10009429550

The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange

Cotter, John; McKillop, Donal G. - 2000

This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects and the influence of an asset's conditional variance from the raw returns...

Persistent link: https://www.econbiz.de/10009475643

Uncovering volatility dynamics in daily REIT returns

Cotter, John; Stevenson, Simon - 2007

Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT … REIT volatility.The paper examines the factors that influence REIT volatility, documenting the return and volatility … previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such asvalue stocks are …

Persistent link: https://www.econbiz.de/10009475702

Variance parameter estimation methods with re-use of data

Meterelliyoz Kuyzu, Melike - 2008

This dissertation studies three classes of estimators for the asymptotic variance parameter of a stationary stochastic process. All estimators are based on the concept of data "re-use" and all transform the output process into functions of an approximate Brownian motion process.The first class...

Persistent link: https://www.econbiz.de/10009476093

Graphical models for associations between variables, some of which are quantitative and some qualitative

Lauritzen, Steffen L.; Wermuth, N. - 1989

We define and investigate classes of statistical models for the analysis of associations between variables, some of which are qualitative and some quantitative. In the cases where only one kind of variables is present, the models are well-known models for either contingency tables or covariance...

Persistent link: https://www.econbiz.de/10009441395

Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports

McKenzie, Andrew M.; Singh, Navinderpal - 2011

It is well documented that ‘‘unanticipated’’ information contained in United States Department of Agriculture (USDA) crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges...

Persistent link: https://www.econbiz.de/10009443784