Showing 1 - 10 of 55
Die Aktienindizes erklimmen derzeit neue Höchststände, doch die Schweizer Anleger springen laut einer Studie der Universität Zürich nicht auf den "fahrenden Zug" auf. Den Schweizer Investoren wird insgesamt eine verzerrte Risikowahrnehmung attestiert.
Persistent link: https://www.econbiz.de/10005858279
investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …
Persistent link: https://www.econbiz.de/10005858738
This paper reassesses, at the light of economic and financial theory, the well-documented recent evolution of the euro area public debt and equity markets. Doing so leads to associating the EMU and the single market with the changes in fundamentals and financial integration with convergence in...
Persistent link: https://www.econbiz.de/10005858850
volatility across di.erent 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/10005859005
This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...
Persistent link: https://www.econbiz.de/10005858015
Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736
price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …
Persistent link: https://www.econbiz.de/10005857774
discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …
Persistent link: https://www.econbiz.de/10005857775