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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
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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
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The impact of CEO turnover on equity volatility
Clayton, Matthew J. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752006
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The trade comovement problem in international macroeconomics
Kose, M. Ayhan (contributor); Yi, Kei-mu (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001726732
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Fifteen minutes of fame? : the market impact of internet stock picks
Antunovich, Peter (contributor); Sarkar, Asani (contributor) - 2003 - [Elektronische Ressource]
We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick...
Persistent link: https://www.econbiz.de/10001751980
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Modeling uncertainty : predictive accuracy as a proxy for predictive confidence
Rich, Robert W. (contributor); Tracy, Joseph S. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751995
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A primer on the economics and time series econometrics of wealth effects : a comment
Lettau, Martin (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590070
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Recent changes in the US business cycle
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
the dynamics of a wide range of macroeconomic variables. We find strong evidence that a reduction in volatility is common … to the series examined. Further, the reduction in volatility implies that future expansions will be considerably longer …
Persistent link: https://www.econbiz.de/10001591424
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Inventory dynamics and business cycles : what has changed?
McCarthy, Jonathan P. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001726735