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~isPartOf:"CFS working paper series"
~subject:"Measurement"
~subject:"Profit"
~subject:"Schätzung"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Working Paper"
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Search: subject:"Volatility"
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ECONIS (ZBW)
26
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1
The green sin : how exchange rate
volatility
and financial openness affect green premia
Moro, Alessandro
;
Zaghini, Andrea
-
2023
hypothesis using a global bond market dataset. Exchange rate
volatility
and financial account openness are thus able to explain …
Persistent link: https://www.econbiz.de/10014441622
Saved in:
2
Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.
;
Brown, Gregory W.
;
Stulz, René M.
-
2016
relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings
volatility
and as firm …
Persistent link: https://www.econbiz.de/10011520321
Saved in:
3
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945
Saved in:
4
Economic integration and the exchange rate regime : how damaging are currency crises?
Weber, Axel A.
;
Beck, Günter W.
-
2003
-
This version: October 2003
volatility
across emerging markets today is still significantly larger than a decade ago. …
Persistent link: https://www.econbiz.de/10009767677
Saved in:
5
Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane
;
Guérin, Pierre
;
Kilian, Lutz
-
2013
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10010203447
Saved in:
6
How wide are European borders? : on the integration effects of monetary unions
Weber, Axel A.
;
Beck, Günter W.
-
2003
-
This version: April 2003
same country. Under the EMU, the elimination of nominal exchange rate
volatility
has largely reduced these border effects …, but distance and border still matter for intra-European relative price
volatility
. …
Persistent link: https://www.econbiz.de/10009767676
Saved in:
7
The impact of macroeconomic news on quote adjustments, noise, and informational
volatility
Hautsch, Nikolaus
;
Hess, Dieter
;
Veredas, David
-
2010
reflect information-driven and noise-induced volatilities. We find that all
volatility
components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all
volatility
components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational
Volatility
…
Persistent link: https://www.econbiz.de/10003947458
Saved in:
8
Price pressures
Hendershott, Terrence
;
Menkveld, Albert J.
-
2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory
volatility
in daily stock returns of 0.49%. Price … Risk ; Intermediary ;
Volatility
…
Persistent link: https://www.econbiz.de/10003980637
Saved in:
9
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
-
2009
direction of company-specific news. Information-implied reactions in returns,
volatility
as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in
volatility
and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ;
Volatility
; Liquidity ; Abnormal Returns …
Persistent link: https://www.econbiz.de/10003947435
Saved in:
10
Analyzing interest rate risk : stochastic
volatility
in the term structure of government bond yields
Hautsch, Nikolaus
;
Ou, Yangguoyi
-
2009
autoregressive processes with stochastic
volatility
. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and
volatility
factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic
Volatility
; Factor Models …
Persistent link: https://www.econbiz.de/10003864095
Saved in:
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