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During the financial crisis, financial firm leverage and volatility both rose dramatically. Consequently, institutions … structure in volatility. To address this question, we build a statistical model of equity volatility that accounts for leverage …. Our approach blends Merton's insights on capital structure with traditional time-series models of volatility. Using our …
Persistent link: https://www.econbiz.de/10011305287
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …
Persistent link: https://www.econbiz.de/10011441704
Persistent link: https://www.econbiz.de/10011554962
One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is … bitcoin's return volatility and Value at Risk. The objective of this study is to compare their out-of-sample performance in …
Persistent link: https://www.econbiz.de/10012626254
financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …
Persistent link: https://www.econbiz.de/10012805838
Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, implied market …
Persistent link: https://www.econbiz.de/10013039137
stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …
Persistent link: https://www.econbiz.de/10009536502
volatility in the future. The paper is aimed at investigating the authenticity of the Black’s leverage effect hypothesis and the …
Persistent link: https://www.econbiz.de/10011878421
The prediction of volatility is of primary importance for business applications in risk management, asset allocation … possibly time-varying interaction of realized volatility and asset returns, according to a bivariate model aiming at capturing … the main stylised facts: (i) the long memory of the volatility process, (ii) the heavy-tailedness of the returns …
Persistent link: https://www.econbiz.de/10012907214