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expected volatility

Overview page. Subjects: Financial Institutions and Services.

An estimate of the future standard deviation of the value of a particular financial variable. It is important in the valuation of options, since the higher the volatility of the security or...

See overview in Oxford Index

expected volatility

Overview page. Subjects: Financial Institutions and Services.

An estimate of the future standard deviation of the value of a particular financial variable. It is important in the valuation of options, since the higher the volatility of the security or...

See overview in Oxford Index

expected volatility

Edited by Jonathan Law and John Smullen.

in A Dictionary of Finance and Banking

January 2008; p ublished online January 2008 .

Reference Entry. Subjects: Financial Institutions and Services. 46 words.

An estimate of the future standard deviation of the value of a particular financial variable. It is important in the

expected volatility

Edited by Jonathan Law.

in A Dictionary of Finance and Banking

January 2014; p ublished online May 2014 .

Reference Entry. Subjects: Financial Institutions and Services. 46 words.

An estimate of the future *standard deviation of the value of a particular financial variable. It is important in

expected volatility

Jonathan Law.

in A Dictionary of Finance and Banking

March 2018; p ublished online March 2018 .

Reference Entry. Subjects: Banking; Social Sciences; Economics. 48 words.

An estimate of the future *standard deviation of the value of a particular financial variable. It is important in the valuation of options, since the higher the ...

expected volatility

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 77 words.

The subjective estimate of volatility that is used to decide a course of action in risk management decisions. For instance,

The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information

François M. Longin.

in The Review of Financial Studies

July 1997; p ublished online April 2015 .

Journal Article. Subjects: Financial Markets. 12909 words.

This article develops theoretical insight into the threshold effect in expected volatility, which means that large shocks are less persistent in volatility than small shocks. The model uses...

forecast volatility

Overview page. Subjects: Economics.

The expected volatility over the life of a transaction, determined by forecasting methods (cf. implied volatility).

See overview in Oxford Index

forecast volatility

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 18 words.

The expected volatility over the life of a transaction, determined by forecasting methods (cf. implied volatility).

mean-variance analysis

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 25 words.

Evaluating uncertain investments in terms of their expected return and variance of outcomes (cf. volatility). See also geometric

volatility cone

Peter Moles and Nicholas Terry.

in The Handbook of International Financial Terms

January 1997; p ublished online January 2005 .

Reference Entry. Subjects: Financial Institutions and Services. 24 words.

A technical analysis model of the expected upper and lower boundaries of the term structure of volatility used for analysing

volatility cone

Overview page. Subjects: Economics.

A technical analysis model of the expected upper and lower boundaries of the term structure of volatility used for analysing option values.

See overview in Oxford Index

mean-variance analysis

Overview page. Subjects: Economics.

Evaluating uncertain investments in terms of their expected return and variance of outcomes (cf. volatility). See also geometric Brownian motion; Markowitz portfolio model.

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Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?

Yunmi Kim and Charles R. Nelson.

in Journal of Financial Econometrics

March 2014; p ublished online April 2013 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Economics; Econometric Modelling. 7137 words.

This article investigates the impact of business cycle-related market volatility on expected returns. We develop a model that enables us to decompose the market volatility into two...

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The Impact of Trades on Daily Volatility

Doron Avramov, Tarun Chordia and Amit Goyal.

in The Review of Financial Studies

January 2006; p ublished online February 2006 .

Journal Article. Subjects: Financial Markets. 16610 words.

This article proposes a trading-based explanation for the asymmetric effect in daily volatility of individual stock returns. Previous studies propose two major hypotheses for this...

short-term volatility

Overview page. Subjects: Economics.

Observed or implied volatility over the short term. This can be a day, week, or month and can be based on expected price movements following the announcement of new information (cf. mean...

See overview in Oxford Index

term structure of volatility

Overview page. Subjects: Economics.

A graph or tabulation of the implied volatility of options with different expiry dates. The relationship tells participants something of the degree of uncertainty expected in the underlying...

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A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

Ravi Bansal and Ivan Shaliastovich.

in The Review of Financial Studies

January 2013; p ublished online October 2012 .

Journal Article. Subjects: Money and Interest Rates; International Finance; Economics; International Financial Markets. 14278 words.

We show that bond risk premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these uncertainty...

Codon Volatility As an Indicator of Positive Selection: Data from Eukaryotic Genome Comparisons

Robert Friedman and Austin L. Hughes.

in Molecular Biology and Evolution

March 2005; p ublished online November 2004 .

Journal Article. Subjects: Evolutionary Biology; Molecular and Cell Biology. 3464 words.

It has been suggested that codon volatility (the proportion of the point-mutation neighbors of a codon that encode different amino acids) can be used as an index of past positive selection....

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Return Reversals, Idiosyncratic Risk, and Expected Returns

Wei Huang, Qianqiu Liu, S. Ghon Rhee and Liang Zhang.

in The Review of Financial Studies

January 2010; p ublished online May 2009 .

Journal Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General. 9913 words.

The empirical evidence on the cross-sectional relation between idiosyncratic risk and expected stock returns is mixed. We demonstrate that the omission of the previous month's stock returns...

The Political Economy of Food Price Volatility: The Case of Vietnam and Rice

Murray E. Fulton and Travis Reynolds.

in American Journal of Agricultural Economics

July 2015; p ublished online May 2015 .

Journal Article. Subjects: Agricultural, Environmental, and Natural Resource Economics; Agricultural Economics; Socialist Systems and Transitional Economies. 13281 words.

This article argues that the structure of the Vietnamese rice export system is, in political economy terms, a rational response to the volatility present in the international rice market....

Go to »  abstract