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Analysing stock market data : market sentiment approach and its measures
Moseki, K. K.; Rao, K. S. Madhava - In: Cogent economics & finance 5 (2017) 1, pp. 1-15
between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of …
Persistent link: https://www.econbiz.de/10011884554
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Endogenous Second Moments : A Unified Approach to Fluctuations in Risk, Dispersion, and Uncertainty
Straub, Ludwig - 2018
Many important statistics in macroeconomics and finance — such as cross-sectional dispersions, risk, volatility, or …
Persistent link: https://www.econbiz.de/10012936010
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An empirical study of the information premium on electricity markets
Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy Economics 36 (2013) C, pp. 55-77
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...
Persistent link: https://www.econbiz.de/10011039524
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Electricity Options and Additional Information
Biegler-König, Richard - 2012
Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of information premium to describe the influence of future information - such as planned power...
Persistent link: https://www.econbiz.de/10013103554
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An Empirical Study of the Information Premium on Electricity Markets
Biegler-König, Richard - 2015
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, these exhibit a significant time-varying risk premium. Using EEX data during the introduction of Emission certificates and the German "Atom Moratorium" we show...
Persistent link: https://www.econbiz.de/10013036715
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Exploring Consumers' Preferences with Regard to Department Stores in Vietnam : An Empirical Assessment of the Multi-Attributes of Store Image
Trinh, Viet Dung - 2017
Using a stimulus-organism-response (S–O–R) framework, this study examines the S–R relationship of consumer retail behavior. In particular, we focus on how the multi-attributes of department store in customer perception effect their preference by studying three department stores in Central...
Persistent link: https://www.econbiz.de/10012963734
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Media coverage and food commodities : agricultural futures prices and volatility effects
Almánzar, Miguel; Torero, Máximo - 2017
volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …
Persistent link: https://www.econbiz.de/10011763674
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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …
Persistent link: https://www.econbiz.de/10012818141
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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …
Persistent link: https://www.econbiz.de/10005786918
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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 - 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/10010302536