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An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns
Language: en
Pages:

An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns

Authors: José Carlos Gonzáles Tanaka
Categories:
Type: BOOK - Published: 2016 - Publisher:

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Law and Employment
Language: en
Pages: 585

Law and Employment

Authors: James J. Heckman
Categories: Law
Type: BOOK - Published: 2007-11-01 - Publisher: University of Chicago Press

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Law and Employment analyzes the effects of regulation and deregulation on Latin American labor markets and presents empirically grounded studies of the costs of
Testing Mean Reversion in Stock Market Volatility
Language: en
Pages: 36

Testing Mean Reversion in Stock Market Volatility

Authors: Turan G. Bali
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Type: BOOK - Published: 2012 - Publisher:

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This paper presents a comprehensive study of continuous time GARCH modeling with the thin-tailed normal and the fat-tailed Student-t and generalized error distr
Factor Investing and Asset Allocation: A Business Cycle Perspective
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Factor Investing and Asset Allocation: A Business Cycle Perspective

Authors: Vasant Naik
Categories: Business & Economics
Type: BOOK - Published: 2016-12-30 - Publisher: CFA Institute Research Foundation

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Implied Volatility Functions
Language: en
Pages: 34

Implied Volatility Functions

Authors: Bernard Dumas
Categories: Options (Finance)
Type: BOOK - Published: 1996 - Publisher:

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Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani
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