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Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001982800

Cereal price shocks and volatility in Sub-Saharan Africa : what does really matter for farmers' welfare?

Balié, Jean; Magrini, Emiliano; Morales Opazo, Cristian - 2016

lack of information and some misperceptions on the distinction between the welfare consequences of higher versus more … welfare heavily depend on the domestic structure of the economy. The most important factors to consider are the different … impact of higher substantially outweigh the effects of more volatile prices on farmers' welfare across the entire income …

Persistent link: https://www.econbiz.de/10011515986

Networks of volatility spillovers among stock markets

Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Persistent link: https://www.econbiz.de/10011654569

Volatility in cereal prices : intra- versus inter-annual volatility

Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578

Persistent link: https://www.econbiz.de/10010467381

Background indicators

Raunig, Burkhard - In: Econometrics : open access journal 7 (2019) 2/20, pp. 1-17

It is customary to assume that an indicator of a latent variable is driven by the latent variable and some random noise. In contrast, a background indicator is also systematically influenced by variables outside the structural model of interest. Background indicators deserve attention because in...

Persistent link: https://www.econbiz.de/10012025817

Bayesian Inference in Spatial Stochastic Volatility Models : An Application to House Price Returns in Chicago

Taspinar, Suleyman - 2019

In this study, we propose a spatial stochastic volatility model in which the latent log-volatility terms follow a spatial autoregressive process. Though there is no spatial correlation in the outcome equation (the mean equation), the spatial autoregressive process defined for the log-volatility...

Persistent link: https://www.econbiz.de/10012900218

Proximity-Structured Multivariate Volatility Models

Caporin, Massimiliano - 2013

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification and identification of structured parameterizations based on weight matrices induced by economic...

Persistent link: https://www.econbiz.de/10013095932

Structured Multivariate Volatility Models

Caporin, Massimiliano - 2009

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured specifications aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small...

Persistent link: https://www.econbiz.de/10012719984

Forecast Evaluation in Large Cross-Sections of Realized Volatility

Katsouris, Christis - 2022

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using equal predictive accuracy testing procedures. We evaluate the predictive accuracy of the model based on the augmented cross-section when forecasting Realized Volatility. Under...

Persistent link: https://www.econbiz.de/10013306884

On the Stability of Employment Growth : A Postwar View from the U.S. States

Carlino, Gerald A.; DeFina, Robert H.; Sill, D. Keith - 2019

In 1952, the average quarterly volatility of U.S. state employment growth stood at 1.5 percent. By 1995, employment growth volatility came in at just under 0.5 percent. While all states shared in the decline, some states declined much more dramatically than others. We analyze aspects of this...

Persistent link: https://www.econbiz.de/10014068832