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Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - CESifo - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10008583696
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Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10010659187
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Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - CESifo - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10008572486
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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10008572532
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10011257668
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Faustmann and the Climate
Hoel, Michael; Holtsmark, Bjart; Holtsmark, Katinka - CESifo - 2012
The paper presents an adjusted Faustmann Rule for optimal harvest of a forest when there is a social cost of carbon emissions. The theoretical framework takes account of the dynamics and interactions of forests’ multiple carbon pools and assumes an infinite time horizon. Our paper provides a...
Persistent link: https://www.econbiz.de/10010877686
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The Green Paradox in Open Economies
Long, Ngo Van - CESifo - 2014
This paper explains how, in the context of incomplete coordination among all countries, unilateral policies that might at first sight seem pro-green could actually turn out to harm the global environment. The free-riding motives and the difficulty of reaching an effective international...
Persistent link: https://www.econbiz.de/10010877704
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Not so Myopic Consumers - Evidence on Capitalization of Energy Technologies in a Housing Market
Harjunen, Oskari; Liski, Matti - CESifo - 2014
Policies affecting the cost of energy use provide correct incentives for technology choices only if there is a market reward for energy efficiency. We provide clean evidence for market efficiency by considering how heating technologies capitalize into house values using detailed Finnish register...
Persistent link: https://www.econbiz.de/10010948877
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Investing in Biogas: Timing, Technological Choice and the Value of Flexibility from Inputs Mix
Corato, Luca Di; Moretto, Michele - CESifo - 2009
In a continuous-time framework we study the technology and investment choice problem of a continuous co-digestion biogas plant dealing with randomly fluctuating relative convenience of input factor costs. Input factors enter into the productive process together mixed according to a given initial...
Persistent link: https://www.econbiz.de/10005013066
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Too Little Oil, Too Much Coal: Optimal Carbon Tax and when to Phase in Oil, Coal and Renewables
Ploeg, Frederick Van der; Withagen, Cees A. - CESifo - 2011
Our main message is that it is optimal to use less coal and more oil once one takes account of coal being a backstop which emits much more CO2 than oil. The way of achieving this is to have a steeply rising carbon tax during the initial oil-only phase, a less-steeply rising carbon tax during the...
Persistent link: https://www.econbiz.de/10009221555