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Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

The impact of CEO turnover on equity volatility

Clayton, Matthew J. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752006

Forecasting and estimating multiple change-point models with an unknown number of change points

Koop, Gary M. (contributor); Potter, Simon M. (contributor) - 2004 - [Elektronische Ressource]

estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility …

Persistent link: https://www.econbiz.de/10002521761

Trading risk and volatility in interest rate swap spreads

Kambhu, John (contributor) - 2004 - [Elektronische Ressource]

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

Persistent link: https://www.econbiz.de/10001936329

Are larger treasury issues more liquid? : Evidence from bill reopenings

Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001656398

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10001629622

Measuring treasury market liquidity

Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001590059

Stop-loss orders and price cascades in currency markets

Osler, Carol (contributor) - 2002 - [Elektronische Ressource]

In this paper, I provide evidence that currency stop-loss orders contribute to rapid, self-reinforcing price movements, or "price cascades". Stop-loss orders, which instruct a dealer to buy (sell) a certain amount of currency at the market rate once the rate has risen (fallen) to a prespecified...

Persistent link: https://www.econbiz.de/10001682513

Forecasting recessions using the yield curve

Chauvet, Marcelle (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001630849

How stable is the predictive power of the yield curve? : Evidence from Germany and the United States

Estrella, Arturo (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001512206