Showing papers on "Price variance published in 1994"
TL;DR: The authors model currency hedges in a mean/variance framework and show that currency hedging can be modeled as a mean-variance function, rather than a function of the currency itself.
Abstract: (1994). Modeling Currency Hedges in a Mean/Variance Framework. Financial Analysts Journal: Vol. 50, No. 1, pp. 57-61.
8 citations
TL;DR: The unconditional variance of the rate of nominal price change can always be expressed as a function of the unconditional mean, and therefore the relationship between the unconditional variance and the unconditional means cannot be used to distinguish among alternative theories as mentioned in this paper.
7 citations
TL;DR: In this paper, the authors examined whether the observed level of stock price volatility can be explained by parameter uncertainty and found that time-varying parameters may not explain the excess volatility of stock prices.
7 citations