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A transaction level study of the effects of central bank intervention on exchange rates

Payne, Richard; Vitale, Paolo - London School of Economics (LSE) - 2002

effects of intervention on exchange rate returns and volatility. We find that intervention has important short-run effects on … the level of exchanges rates. There are also significant intra-day effects of intervention on exchange rate volatility …

Persistent link: https://www.econbiz.de/10010745097

A theory of strategic intermediation and endogenous liquidity

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2007

Market liquidity is typically characterized by a number of ad hoc metrics, such as depth (or market impact), volume, intermediation costs (such as breadth) etc. No general coherent denition seems to exist, and few attempts have been made to justify the existing metrics on welfare grounds. In...

Persistent link: https://www.econbiz.de/10010745443

Estimating quadratic variation consistently in the presence of correlated measurement error

Kalnina, Ilze; Linton, Oliver - London School of Economics (LSE) - 2006

We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...

Persistent link: https://www.econbiz.de/10011071545

Wealth shocks and health outcomes: evidence from stock market fluctuations

Schwandt, Hannes - London School of Economics (LSE) - 2014

Do wealth shocks affect the health of the elderly in developed countries? The economic literature is skeptical about such effects which have so far only been found for poor retirees in poor countries. In this paper I show that wealth shocks also matter for the health of wealthy retirees in the...

Persistent link: https://www.econbiz.de/10011126390

How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks

Maillet, Bertrand; Michel, Thierry - London School of Economics (LSE) - 2002

Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and...

Persistent link: https://www.econbiz.de/10010744901

A GARCH model of the implied volatility of the Swiss Market Index from options prices

Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …

Persistent link: https://www.econbiz.de/10010746119

A local instrumental variable estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

Persistent link: https://www.econbiz.de/10010746316

Estimating semiparametric ARCH (∞) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

Persistent link: https://www.econbiz.de/10011126295

Fluctuations in uncertainty

Bloom, Nicholas - London School of Economics (LSE) - 2013

This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great Recession of 2007-2009? On the first question both macro...

Persistent link: https://www.econbiz.de/10011126328

Estimating semiparametric ARCH (8) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10011071447