On the volatility of stock prices: an exercise in quantitative theory
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This paper examines the issues of volatility at the aggregate level. Rather than studying individual securities we focus on volatility utilizing aggregate stock ...
This paper examines the issues of volatility at the aggregate level. Rather than studying individual securities we focus on volatility utilizing aggregate ...
On the volatility of stock prices: an exercise in quantitative theory
www.tandfonline.com › doi › pdf
This paper examines the issues ofvolatility at the aggregate level. Rather than studying individual securities we focus on volatility utilizing aggregate ...
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“On the Volatility of Stock Prices: An Exercise in Quantitative Theory,” International Journal of Systems Science, 29, November, 1998 pp. 1203-1211. [PDF] ...
RAJNISH MEHRA On the volatility of stock prices: an exercise in quantitative theory, International Journal of Systems Science 29, no.1111 (Nov 1998): 1203 ...
This paper examines effects of market and individual securities' volatility on investors' trading activities of losers and winners.
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The main purpose of this review is to examine effective GARCH models recommended for performing market returns and volatilities analysis.
A price series or an economic indicator that changes a lot and swings wildly is said to be “volatile”. This simple and intuitive concept is the cause of many ...
Sep 29, 2021 · Option pricing theory uses variables (stock price, exercise price, volatility, interest rate, time to expiration) to theoretically value an ...
Our findings have implications for market-wide volatility — the model-implied correlations alone can explain 44% of the cross-section of aggregate volatility.