Measuring Historical Volatility
... observations. For GARCH type models, Andersen and Bollerslev (1998), Andersen et al (1999), and Andersen et al (2003) report considerably improved volatility estimates using such intraday data. However, intraday data is not readily available to students and traders, is costly, and is more difficult ...
... observations. For GARCH type models, Andersen and Bollerslev (1998), Andersen et al (1999), and Andersen et al (2003) report considerably improved volatility estimates using such intraday data. However, intraday data is not readily available to students and traders, is costly, and is more difficult ...
NBER WORKING PAPER SERIES BELIEFS ARE HETEROGENEOUS
... ity of output (endowments in our models), and by the participants’ tastes for risk and tradeoff across time, as well as their beliefs. As far as consumption and risk sharing are concerned, our formulation identifies a simple tradeoff between these two key, but seemingly quite different factors. Tha ...
... ity of output (endowments in our models), and by the participants’ tastes for risk and tradeoff across time, as well as their beliefs. As far as consumption and risk sharing are concerned, our formulation identifies a simple tradeoff between these two key, but seemingly quite different factors. Tha ...
Investor Preferences and Portfolio Selection: Is Diversification an
... Therefore, to model the higher moments in stock returns, we develop the “Asymmetric Generalized t (AGT) distribution,” an asymmetric version of McDonald and Newey’s (1988) generalized t (GT) distribution. Although this is a simple three-parameter distribution, it is very flexible in that it permits ...
... Therefore, to model the higher moments in stock returns, we develop the “Asymmetric Generalized t (AGT) distribution,” an asymmetric version of McDonald and Newey’s (1988) generalized t (GT) distribution. Although this is a simple three-parameter distribution, it is very flexible in that it permits ...
An Empirical Analysis of the Canadian Term Structure of Zero
... Data filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Sample and subsample periods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 ...
... Data filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Sample and subsample periods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 ...
Your source for in-depth agricultural news
... Extension educators, farmers, and persons representing the Farm Credit System, the Farm Service Agency (FSA) county offices, and insurance companies. Their daily work requires that they stay well informed about land values and cash rents in Indiana. These professionals provide an estimate of the mar ...
... Extension educators, farmers, and persons representing the Farm Credit System, the Farm Service Agency (FSA) county offices, and insurance companies. Their daily work requires that they stay well informed about land values and cash rents in Indiana. These professionals provide an estimate of the mar ...
United States Securities and Exchange Commission Washington
... We operate in a litigious environment, and we are sued in the normal course of business. Sometimes plaintiffs seek substantial damages. Significant judgment is required in predicting the outcome of these suits and claims, many of which take years to adjudicate. We accrue estimated costs for a contin ...
... We operate in a litigious environment, and we are sued in the normal course of business. Sometimes plaintiffs seek substantial damages. Significant judgment is required in predicting the outcome of these suits and claims, many of which take years to adjudicate. We accrue estimated costs for a contin ...
ask investment managers private limited
... [i] The present investment objectives and policies, including the types of securities in which investments are generally made Investment Philosophy ASK Investment Managers’ (ASKIM) investment philosophy revolves around two key aspects: Endeavour to preserve capital and generate long term returns. AS ...
... [i] The present investment objectives and policies, including the types of securities in which investments are generally made Investment Philosophy ASK Investment Managers’ (ASKIM) investment philosophy revolves around two key aspects: Endeavour to preserve capital and generate long term returns. AS ...
Tax Treatment of Derivatives
... taxpayers. Generally, under section 1092, a “mixed straddle” is a “straddle” containing a mix of non-section 1256 contracts and section 1256 contracts (a straddle composed only of section 1256 contracts or only of non-section 1256 contracts is not a “mixed straddle”).19 A taxpayer deemed to hold a m ...
... taxpayers. Generally, under section 1092, a “mixed straddle” is a “straddle” containing a mix of non-section 1256 contracts and section 1256 contracts (a straddle composed only of section 1256 contracts or only of non-section 1256 contracts is not a “mixed straddle”).19 A taxpayer deemed to hold a m ...
Overview of IFRS
... 1. A lease is an agreement whereby the lessor conveys to the lessee in return for a payment or series of payments the right to use an asset for an agreed period of time. 2. A finance lease is a lease that transfers substantially all the risks and rewards incident to ownership of an asset. 3. An oper ...
... 1. A lease is an agreement whereby the lessor conveys to the lessee in return for a payment or series of payments the right to use an asset for an agreed period of time. 2. A finance lease is a lease that transfers substantially all the risks and rewards incident to ownership of an asset. 3. An oper ...
13: Asset Valuation: Equity Investments
... B In general, an industry’s prospects within the global business environment determine how well or poorly individual firms in the industry do. Thus, industry analysis should precede company analysis. The goal is to find the best companies in the most promising industries; even the best company in a ...
... B In general, an industry’s prospects within the global business environment determine how well or poorly individual firms in the industry do. Thus, industry analysis should precede company analysis. The goal is to find the best companies in the most promising industries; even the best company in a ...
The 2008 Short Sale Ban`s Impact on Equity Option Markets
... affected less by the ban than other stocks. However, the SEC ban, as amended shortly after 12:00am on the morning of September 22nd , only allowed market makers to sell short if they knew the customer or counterparty was not increasing a net economic short position.2 We find the ratio of option-to- ...
... affected less by the ban than other stocks. However, the SEC ban, as amended shortly after 12:00am on the morning of September 22nd , only allowed market makers to sell short if they knew the customer or counterparty was not increasing a net economic short position.2 We find the ratio of option-to- ...
Risk-taking behavior of Commodity Trading Advisors
... in the calculation of incentive fees; hedge funds in managed futures called Commodity Trading Advisors typically do not employ hurdle rates1 but still comply with the high water mark provision that requires the fund manager to make up past deficits prior to earning incentive fees. The HWM provision ...
... in the calculation of incentive fees; hedge funds in managed futures called Commodity Trading Advisors typically do not employ hurdle rates1 but still comply with the high water mark provision that requires the fund manager to make up past deficits prior to earning incentive fees. The HWM provision ...
Corporate Finance (Book 1)
... money markets • Capital markets are markets for long-term debt (with a maturity at over one year) and for equity shares • Markets in which foreign currencies are bought and sold ...
... money markets • Capital markets are markets for long-term debt (with a maturity at over one year) and for equity shares • Markets in which foreign currencies are bought and sold ...
managing foreign exchange risk with derivatives
... documents, and collected historical data on all 3,110 individual foreign currency derivative transactions for the 14 quarters from 1995:Q1 to 1998:Q2. 2 Using this information, I address three general research questions. First, how does HDG structure its foreign exchange hedging program? Since exis ...
... documents, and collected historical data on all 3,110 individual foreign currency derivative transactions for the 14 quarters from 1995:Q1 to 1998:Q2. 2 Using this information, I address three general research questions. First, how does HDG structure its foreign exchange hedging program? Since exis ...
Workbook for Currency Derivatives Certification Examination
... The current currency rate mechanism has evolved over thousands of years of the world community trying with various mechanism of facilitating the trade of goods and services. Initially, the trading of goods and services was by barter system where in goods were exchanged for each other. For example, a ...
... The current currency rate mechanism has evolved over thousands of years of the world community trying with various mechanism of facilitating the trade of goods and services. Initially, the trading of goods and services was by barter system where in goods were exchanged for each other. For example, a ...
Forward and Futures Contracts
... Forwards and Futures A contract to exchange an asset in the future at a specified price and ...
... Forwards and Futures A contract to exchange an asset in the future at a specified price and ...
Fair Value Accounting: Information or Confusion for Financial Markets?
... The recent financial crisis has led to a critical evaluation of the role that fair value accounting may have played in undermining the stability of the financial system. Reacting to the pressures of banking regulators and governments, standard-setters have brought forward additional guidance on the ...
... The recent financial crisis has led to a critical evaluation of the role that fair value accounting may have played in undermining the stability of the financial system. Reacting to the pressures of banking regulators and governments, standard-setters have brought forward additional guidance on the ...
