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Ditemukan 4 dari pencarian Anda melalui kata kunci: subject="Implied volatility"
cover
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the …
Neumann, MichaelSkiadopoulos, George

We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting horizons. We consider both a statistical and an economic setting. We find that higher risk-neutral m…

Edisi
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ISBN/ISSN
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Deskripsi Fisik
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Judul Seri
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No. Panggil
JFQA4803
cover
Menguak misteri tingginya bunga dual-currency deposit
Budiman, Rachman Untung

Printed Journal

Edisi
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ISBN/ISSN
3029859
Deskripsi Fisik
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Judul Seri
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No. Panggil
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cover
Menguak misteri tingginya bunga dual-currency deposit
Budiman, Rachman Untung

Dual-currency deposit is one of the latest innovative banking products offered by foreign banks in Indonesia. Its much higher interest rate than prevailing deposit interest rate and convertibility to another hard currency may attract many investors.As an investor, one should fully undersrand the risk and return characteristics of this deposit before pouring his funds into this product. This pap…

Edisi
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ISBN/ISSN
3029859
Deskripsi Fisik
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Judul Seri
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No. Panggil
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cover
Analisis determinan sovereign credit default swap (CDS) Indonesia dan penguku…
Faizal, ErwinZaafri A. Husodo, Ph.D (Penguji)Dr. Budi Wibowo (Pembimbing/Promotor)Ir. Ruslan Prijadi, Ph.D (Penguji)

Penelitian ini dilakukan untuk menganalisis faktor-faktor determinan Sovereign Credit Default Swap (CDS) Indonesia menggunakan variabel interest rate, stock returns, dan implied volatility dan menguji tingkat efektifitas hedging Sovereign CDS Indonesia terhadap Indonesia Government Bond. Proxy dari Sovereign CDS Indonesia menggunakan CDS Spreads Indonesia tenor 5 tahun, proxy untuk interest rat…

Edisi
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ISBN/ISSN
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Deskripsi Fisik
xi, 74p; chart, tables, graphics, ills; 29cm
Judul Seri
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No. Panggil
MA 1392