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Chu, LanFen; McAleer, Michael; Chen, Chi-Chung - Institute of Economic Research, Kyoto University - 2010

purpose of this paper is to analyze these two indexes in order to capture the volatility inherent in ENSO. The empirical … results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …

Persistent link: https://www.econbiz.de/10008677573

Comparison of Black–Scholes Formula with Fractional Black–Scholes Formula in the Foreign Exchange Option Market with Changing Volatility

Meng, Li; Wang, Mei - In: Asia-Pacific Financial Markets 17 (2010) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10008678551

Aid Allocation and Fragile States

McGillivray, Mark - eSocialSciences - 2010

This paper summarises research on aid allocation and effectiveness, highlighting the current findings of recent research on aid allocation to fragile states. Fragile states are defined by the donor community as those with either critically poor policies or poorly performing institutions, or...

Persistent link: https://www.econbiz.de/10008679656

Finance and diversification

Manganelli, Simone; Popov, Alexander - European Central Bank - 2010

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

Persistent link: https://www.econbiz.de/10008679924

Méthodes de décomposition de la volatilité d'un portefeuille. Une nouvelle approche d'estimation des risques par l'indice de Gini

Mussard, Stéphane; Terraza, Virginie - In: Revue d'économie politique 114 (2004) 4, pp. 557-571

Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The … assimilated to a volatility measure in order to obtain a new ratio of financial risk. We use another measure that is the …

Persistent link: https://www.econbiz.de/10008680070

Foreign Debt, Foreign Direct Investment and Volatility

Chung, Keunsuk - In: International Economic Journal 24 (2010) 2, pp. 171-196

foreign capital experiences wider welfare swings by external volatility shocks than the one with foreign debt alone, while the … welfare effects from domestic volatility shocks are mitigated. The welfare effects of fiscal shocks are much smaller with both …

Persistent link: https://www.econbiz.de/10008681208

Stock Index Volatility: the case of IPSA

Alfaro, Rodrigo; Silva, Carmen Gloria - Volkswirtschaftliche Fakultät, … - 2010

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

Persistent link: https://www.econbiz.de/10008683280

The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

Persistent link: https://www.econbiz.de/10008684983

Endogenous Growth, Monetary Shocks and Nominal Rigidities

Annicchiarico, Barbara; Pelloni, Alessandra; Lorenza, Rossi - Volkswirtschaftliche Fakultät, … - 2010

: (i) monetary volatility negatively affects long-run growth; (ii)the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …

Persistent link: https://www.econbiz.de/10008685157

International Business Cycles and Remittance Flows

Mallick, Debdulal; Cooray, Arusha - Volkswirtschaftliche Fakultät, … - 2010

-cyclical to home country volatility but counter-cyclical to the volatility in host countries. This result does not hold for high … income counties for which remittance inflows are acyclical to home country volatility but pro-cyclical to the volatility in … host countries. For a host country, remittance outflows are counter-cyclical to the volatility of home countries. Trade …

Persistent link: https://www.econbiz.de/10008685500