Tag: markets volatility expectation

Documents tagged

idiosyncratic volatility

Business realestate.uc.edu

1. A Cross-Sectional Asset-Pricing Analysis of the U.S. Housing Market with Zip Code Data Susanne Cannon, Norman G. Miller and Gurupdesh S. Pandher∗February 19, 2006 AbstractThis…

Economy & Finance Factor Structure in Equity Options

1. Factor Structure in Equity Options Peter Christoffersen (Rotman School, CBS and CREATES) Mathieu Fournier (University of Toronto, PhD student) Kris Jacobs (University…

Documents Market Timing with Aggregate and Idiosyncratic Stock Volatilities

Research Division Federal Reserve Bank of St. Louis Working Paper Series Market Timing with Aggregate and Idiosyncratic Stock Volatilities Hui Guo and Jason Higbee Working…

Documents Menkhoff Et Al 2011

BIS Working Papers No 366 Currency Momentum Strategies by Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf Monetary and Economic Department December 2011…

Documents Historical Backtesting vs. Real-World Positions

Historical Backtesting vs. Real-World Positions SECOND EUBANK CONFERENCE: MODELING FINANCIAL MARKETS IN A WORLD OF FIAT MONEY John A. Dobelman Rice University October 18-19,…

Documents Recent Volatility in U.S. Equity Markets and Some Applications with Derivatives

By Toby White, CFA, FSA Drake University Finance / Actuarial Science Iowa Actuarial Education Day March 27, 2012 Outline Introduction to Volatility: Motivations and Definitions…