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Showing 1 to 20 of 84 for “"Market Volatility"”.

  1. U.S. Housing Market Volatility

    Zhang, Xibin2013

    … considers the determinants of U.S. housing market volatility. With volatility defined as the sample variance of home value monthly returns during a given quarter, a model of volatility from equilibrium in the housing market is derived. Supply and demand effects on housing return volatility …

    siu-theses Repository record

  2. A close examination of Canadian stock market volatility

    Michaelides, Mina1999

    This paper examines stock market volatility using daily returns from the Toronto Stock Exchange 300 Price Index, for the time period of January 1st , 1977 through December 31st , 1997. More specifically, the dates on which volatility shifts occurred during this sample period are identified, using …

    concordia Repository record

  3. An Analysis of Changes in Aggregate Market Volatility

    Wachowicz, John Martin, Jr.University of Illinois at Urbana-Champaign2014

    Made available in DSpace on 2014-12-14T14:17:08Z (GMT). No. of bitstreams: 1 7913646.pdf: 6304381 bytes, checksum: 11ac11b5a0d1ac13f04156bbbe4c96a1 (MD5) Previous issue date: 1978

    uiuc Repository record

  4. The time series behavior of stock market volatility and returns

    Nelson, Daniel BMassachusetts Institute of Technology1988

    Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1988.

    mit Repository record

  5. The Impact of USDA Reports on U.S. Dairy Market Volatility

    Adkins, Henry MichaelVirginia Tech2024

    … (USDA) reports on dairy futures price volatility over January 2011 to December 2023. Dairy futures are a relatively understudied commodity market with a unique pricing structure and settlement procedure. An E-GARCH model is used to estimate price volatility with exogenous dummy …

    vt Repository record

  6. Essays on Commodity Price Shocks, Bank Risk and Market Volatility Forecasting

    Qiu, Yue2017

    … prices and find that global demand and commodity market–specific shocks are crucial. These two shocks are shown to have quite different implications for bank lending and risk, which confirms the importance of disentangling shocks driving commodity price changes. I also discover that on average, …

    queens Repository record

  7. The impact of Brazil on global grain dynamics: A study on cross-market volatility spillovers

    Grimaldi Avileis, FelipeUniversity of Illinois at Urbana-Champaign2019

    … relationship between Brazilian and Global grain markets. Through a three step approach, we will test the series for cointegration, proceed with the adequate modeling (VAR or VECM) and use the residuals of these models to estimate a BEKK GARCH and relative volatility spillovers across two time …

    uiuc Repository record

  8. An investigation of stock market volatility in Chinese stock markets and the effects of institutional investors

    Zhang, JinkaiUniversity of Strathclyde2020

    … to the literature on the investigation of stock market volatility in Chinese stock markets and the effects of institutional investors.;Chapter 2 focuses on the key characteristics of China's stock market that the volatility of stock returns tends to be greater, and to persist for longer, than is …

    strathclyde Repository record

  9. Business cycles, interest rates and market volatility : estimation and forecasting using DSGE macroeconomic models under partial information

    Perendija, Djordje V.London Metropolitan University2018

    Even long before the recent financial and economic crisis of 2007/2008 economists were more than aware of the insufficiencies and a lack of realism in macroeconomic modelling and model calibration methods, including those with DSGE methods and models, and spelled the need for further enhancements. …

    london-metro Repository record

  10. The impact of a change in sovereign credit ratings on stock market volatility: A comparison of emerging and developed countries

    Govender, SharleneAfrican Inst. of Fin. Markets and Risk Mngnt2018

    … a country’s financial well-being. The financial markets, at large, have become quite topical within the public space, as well as policy makers and academics. This area has been examined in detail, especially after the global financial crisis of 2008. Rating agencies have been under great scrutiny …

    cape-town Repository record

  11. Maintaining Ethos during Market Volatility: A Rhetorical Analysis of Mutual Fund Report Narratives Before and After the 2000 Dot-com Crash

    Speece, Teri KennyTexas State University-San Marcos2006

    No abstract prepared.

    texas-state Repository record

  12. Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models

    Dennis-Sharma, TysonMassachusetts Institute of Technology2024

    Understanding and anticipating stock market volatility enables better portfolio management. We forecast US equity volatility with a Markov-Switching EGARCH model with one high and one low volatility regime. We show that this model contains similar information about future volatility as the VIX …

    mit Repository record

  13. Apartment volatility determinants across the United States markets

    Luo, Mai, S.M. Massachusetts Institute of TechnologyMassachusetts Institute of Technology2011

    … investments. However, little is known about market volatility in real estate in general and in apartment real estate in particular. This paper uses 21-year quarterly data across 46 markets in the United States to analyze the market volatility behavior of apartment real estate markets. In …

    mit Repository record

  14. Predicting stock market volatility using neural network models : a comparative study on Bidirectional Temporal Convolutional Network (BiTCN), Neural Hierarchical Interpolation for Time Series (NHITS), Time-series Dense Encoder (TiDE), and Temporal Fusion Transformer (TFT) across 20 years of S&P 500 constituent stocks

    Mendoza Ortiz, J.A.2025

    tilburg Repository record

  15. Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice

    Wang, Yajun2010

    … long been implemented in almost all financial markets and are often used as an important regulatory tool for improving market conditions. However, their economic impact beyond affecting default risk is still largely unknown. The first essay proposes a tractable and flexible equilibrium model …

    wustl Repository record

  16. Stochastic Volatility Models for Contingent Claim Pricing and Hedging

    Manzini, Muzi CharlesUniversity of the Western Cape2008

    … for the discrepancy observed on the implied volatility curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.

    western-cape Repository record

  17. The book-to-market ratio and Schwert-Seguin type tests of volatility

    Dimmock, Stephen G2000

    … of financial research; research on the book-to-market (BM) anomaly and research on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic variables missed by the …

    concordia Repository record

  18. Electricity Price Forecasting Using a Convolutional Neural Network

    Winicki, Elliott2023

    … the world. The problem is difficult because of market volatility affected by a wide range of exogenous variables from weather to natural gas prices, and accurate price forecasting could help both suppliers and consumers plan effective business strategies. Statistical analysis with autoregressive …

    calpoly Repository record

  19. Data-driven risk assessment for truckload service providers

    Chittella, Sriram Kishore, Machado Teixeira, MarcosMassachusetts Institute of Technology2015

    … of capacity through transportation carrier spot market. The increased volatility in the trucking spot market rates is turning the 3PL businesses more risky and complex. To maximize profitability, a better understanding of the risk and the volatility patterns across the different geographies, time …

    mit Repository record

  20. Value-based multidisciplinary optimization for commercial aircraft program design

    Peoples, Ryan EMassachusetts Institute of Technology2004

    … explicitly for both uncertain demand via market volatility and managerial flexibility by invoking Real Options theory. Stochastic program value is used as the new objective for the design optimization problem. The methodology and framework developed are applied to a design example for the …

    mit Repository record

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