on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the “amplification” of yield curve residuals in pricing interest …

relationship between interest-rate volatility and the level of interest rates?the so-called level effect. This paper examines the … interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian … the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of …

relationship between interest-rate volatility and the level of interest rates-the so-called level effect. This paper examines the … interaction between the estimated level effect and competing parameterisations of interest-rate volatility for the Australian … the short rate is shown to be a crucial determinant of the conditional volatility of all three yield factors. Measures of …

) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume …

' confidence and improves forecast accuracy. The calibration of the confidence intervals was not affected by the stocks' volatility …This study investigates the influence of past volatility on individual investors' forecasting behavior. We conducted … two experiments in which we used real stock prices to construct low- and high-volatility time series, and asked …

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 …

evidence of rejection of the EH has weaken over time. Also, we introduce a new estimation method for the stochastic volatility … new method works well for the stochastic volatility model of short-term interest rates. …

the difference in returns from the 10 year bond rate and the 90 day bill rate. The time-series analysis after proper unit …