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Sources of Risk in Currency Returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012
includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the … probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange … rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of …
Persistent link: https://www.econbiz.de/10011083487
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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
provide asymptotic multistage standard errors necessary to conduct inference for asset pricing tests. We illustrate our new …
Persistent link: https://www.econbiz.de/10011186634
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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is defined as a structural break in the...
Persistent link: https://www.econbiz.de/10005791976
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Valuation of VIX Derivatives
Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010
volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic …
Persistent link: https://www.econbiz.de/10008468615
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Empirical Analysis of Limit Order Markets
Hollifield, Burton; Miller, Robert; Sandås, Patrik - C.E.P.R. Discussion Papers - 2001
We analyse order placement strategies in a limit order market, using data on the order flow from the Stockholm Stock Exchange. Traders submitting market or limit orders trade off the order price against both the execution probability and the winner’s curse risk associated with different order...
Persistent link: https://www.econbiz.de/10005789036
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Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates
Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997
This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM exchange rates. Data on daily exchange rate changes are described by a mixture of two normal distributions. One of these contains observations of volatile exchange rate changes while...
Persistent link: https://www.econbiz.de/10005792273
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How Prediction Markets Can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...
Persistent link: https://www.econbiz.de/10009003379
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Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010
This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...
Persistent link: https://www.econbiz.de/10008468657
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Opening the Black Box: Structural Factor Models versus Structural VARs
Forni, Mario; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2003
In this Paper we study identification in dynamic factor models and argue that factor models are better suited than VARs to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other idiosyncratic disturbances from structural macroeconomic...
Persistent link: https://www.econbiz.de/10005123887
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Persistence and Mobility in International Trade
Proudman, James; Redding, Stephen J. - C.E.P.R. Discussion Papers - 1998
The theoretical literature on endogenous growth and international trade suggests that comparative advantage is endogenous. Sector-specific learning by doing and technology transfer respectively provide reasons why initial patterns of international specialization may persist or exhibit mobility...
Persistent link: https://www.econbiz.de/10005067579