Similar Search Results

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Selcuk, Faruk - Econometric Society - 2004

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005329008

Arbitraging Arbitrageurs

Ruckes, Martin E.; Attari, Mukarram; Mello, Antonio S. - Econometric Society - 2004

This paper develops a theory of strategic trading in markets with large influential arbitrageurs. If arbitrageurs are not very well-capitalized, margin requirements or capital constraints make their trades predictable. Other market participants can exploit this by trading against them....

Persistent link: https://www.econbiz.de/10005328933

Liquidity Black Holes

Shin, Hyun Song; Morris, Stephen - Econometric Society - 2004

Traders with short horizons and privately known trading limits interact in a market for a risky asset. Risk-averse, long horizon traders supply a downward sloping residual demand curve that face the short-horizon traders. When the price falls close to the trading limits of the short horizon...

Persistent link: https://www.econbiz.de/10005328990

Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?

Zhao, Feng; Jarrow, Robert; Li, Haitao - Econometric Society - 2004

volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a … sneer) with a stronger skew for in-the-money caps than out-of-the-money caps. The volatility smile is time varying and is … volatility or upward jumps. However, this model still has a bias for short- and medium-term caps. In addition, it appears that …

Persistent link: https://www.econbiz.de/10005328999

Optimal Expectations

Parker, Jonathan A.; Brunnermeier, Markus K. - Econometric Society - 2004

This paper introduces a tractable, structural model of subjective beliefs. Since agents that plan for the future care about expected future utility flows, current felicity can be increased by believing that better outcomes are more likely. On the other hand, expectations that are biased towards...

Persistent link: https://www.econbiz.de/10005329011

Arbitraging Arbitrageurs

Ruckes, Martin E.; Attari, Mukarram; Mello, Antonio S. - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005329029

Regime Switching for Dynamic Correlations

Pelletier, Denis - Econometric Society - 2004

We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across...

Persistent link: https://www.econbiz.de/10005342253

Predatory Trading

Pedersen, Lasse H.; Brunnermeier, Markus - Econometric Society - 2004

This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting, and a reduced liquidation value for the...

Persistent link: https://www.econbiz.de/10005063615

Un Modelo Basico Crediticio: Regulacion Prudencial, Volatilidad Cambiaria y Medicion de Riesgos

Zambrano, Mario - Econometric Society - 2004

dollarization is important to analyze the relationship from the exchange volatility and the economic cycle to the discount rates. …

Persistent link: https://www.econbiz.de/10005699604

Optimal Rules under Adjustment Cost and Infrequent Information

Garcia, Rene; Bonomo, Marco - Econometric Society - 2004

A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

Persistent link: https://www.econbiz.de/10005699605