Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables

Ahmet Duran*

*Bu çalışma için yazışmadan sorumlu yazar

Araştırma sonucu: ???type-name???Makalebilirkişi

9 Atıf (Scopus)

Özet

In this study, I apply forward sensitivity analysis to the dynamical system of nonlinear asset flow differential equations (AFDEs). I find that all parameters in AFDEs are needed and can be estimated from market prices and net asset values data. Moreover, the market price is the most fluctuating state variable, and the coefficient for the trend-based investor' sentiment is the dominant parameter. Furthermore, I define and compare the extreme value-based volatilities of market price and net asset value for closed-end funds. I find that the extreme value-based volatility of market price is higher than that of net asset value for the vast majority of closed-end funds for both overlapping and non-overlapping cases.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)82-97
Sayfa sayısı16
DergiNumerical Functional Analysis and Optimization
Hacim30
Basın numarası1-2
DOI'lar
Yayın durumuYayınlandı - Oca 2009
Harici olarak yayınlandıEvet

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