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Volatility

Revenue Volatility in California

ELIZABETH G. HILL • LEGISLATIVE ANALYST LAO 60 YEARS OF SERVICE Revenue Volatility In California Following the boom-bust revenue cycle in rec ent years, concerns have developed about volatility in California's General Fund revenues.

Volatility Forecasting*

Volatility Forecasting * Torben G. Andersen a, Tim Bollerslev b, Peter F. Christoffersen c and Francis X. Diebold d February 22, 2005 _____ * This paper is prepared for the forthcoming Handbook of Economic Forecasting edited by Graham Elliott, Clive W.J. Granger, and Allan Timmermann, Amsterdam ...

Stock market volatility measures in perspective

Authors Frank J. Ambrosio, CFA Francis M. Kinniry Jr., CFA Frank J. Ambrosio, CFA (1972-2008) Vanguard mourns the passing of our friend and colleague Frank Ambrosio.

Implied Volatility Modeling - I Introduction

Implied Volatility Modeling . Sarves Verma, Gunhan Mehmet Ertosun, Wei Wang, Benjamin Ambruster, Kay Giesecke . I Introduction . Although Black-Scholes formula is very popular among market practitioners, when

The Cross-Section of Volatility and Expected Returns

THE JOURNAL OF FINANCE • VOL. LXI, NO. 1 • FEBRUARY 2006 The Cross-Section of Volatility and Expected Returns ANDREWANG, ROBERTJ. HODRICK, YUHANGXING, and XIAOY ANZHANG ∗ ABSTRACT We examine the pricing of aggregate volatility risk in the cross-section of stock returns.

CBOE'S VOLATILITY INDEXES

CBOE's volatility indexes are key measures of market expectations of near-term volatility conveyed by stock index option prices. Many of the indexes measure the market's expectation of 30-day volatility implicit in the prices of near-term index options.

Jean-Pierre Danthine: Market volatility, Swiss National Bank ...

BIS central bankers’ speeches 1 Jean-Pierre Danthine: Market volatility, Swiss National Bank liquidity measures and foreign exchange reserves

The Effects of Exchange Rate Volatility on Agricultural Trade

The Effects of Exchange Rate Volatility on Agricultural Trade Ivan T. Kandilov ∗ Agricultural and Resource Economics NC State (Preliminary) Abstract : I extend Cho, Sheldon, and McCorriston (2002) analysis of exchange rate volatility on agricultural trade from the G-10 group of countries they ...

A Closed-Form Solution for Options with Stochastic Volatility ...

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston Yale University I use a new technique to derive a closed-form solu

Diversification and Risk Management: What Volatility Tells Us

October 2008 • FQ Perspective • Page 1 of 8 October 2008, Vol. 5, No. 03 Introduction Every few years an event comes along that shocks financial markets.