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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

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

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

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

Estimating probabilities of default

Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]

"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...

Persistent link: https://www.econbiz.de/10002521762

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

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

Inventory dynamics and business cycles : what has changed?

McCarthy, Jonathan P. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001726735

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