Measuring software volatility: a multi-dimensional approach
نویسندگان
چکیده
منابع مشابه
Realized Volatility in Noisy Prices: a MSRV approach
Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...
متن کاملA framework for Measuring the Dynamics Connections of Volatility in Oil and Financial Markets
Investigating connections between financial and oil markets is important for investors and policy makers. This knowledge allows for appropriate decision making. In this paper, we measure the dynamic connections of selected stock markets in the Middle East with oil markets, gold, dollar index and euro-dollar and pound-dollar exchange rates during the period February 2007 to August 2019 in networ...
متن کاملMarket Volatility Puzzle with Regard to the Systematic Risk of Bubble in the Securities Market of Iran
Stock market volatility is evaluated by measuring the variance of the market that is evaluated through consumption growth volatility in the framework of pricing of CCAPM models. This theory is not consistent with revealed facts, in reality; because consumption growth is very smooth but stock market appears highly volatile; this is famous to stock market volatility puzzle. In this regard, the ne...
متن کاملThe Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model
The author considers SABR (stochastic-αβρ) model which is a two factor stochastic volatility model and give an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation. Furthermore, he applies the approach to a foreign exchange model where interest rates and the FX volatilities are s...
متن کاملMEASURING SOFTWARE PROCESSES PERFORMANCE BASED ON FUZZY MULTI AGENT MEASUREMENTS
The present article discusses and presents a new and comprehensive approachaimed at measuring the maturity and quality of software processes. This method has beendesigned on the basis of the Software Capability Maturity Model (SW-CMM) and theMulti-level Fuzzy Inference Model and is used as a measurement and analysis tool. Among themost important characteristics of this method one can mention si...
متن کامل