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The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Performance of Second Hand Public Investment Recommendations

Schmid, Markus; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper investigates the price and volume behavior around buy, sell and holdrecommendations of Swiss stocks, as published in the major financial newspaper in Switzerland. This represents a random selection of recommendations which have been previously released by banks to their customers....

Persistent link: https://www.econbiz.de/10005858579

A Scapegoat Model of Exchange Rate Fluctuations

Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

While empirical evidence nds only a weak relationship between nominal exchangerates and macroeconomic fundamentals, forex markets participants often attribute ex-change rate movements to a macroeconomic variable. The variables that matter, how-ever, appear to change over time and some variable...

Persistent link: https://www.econbiz.de/10005858318

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...

Persistent link: https://www.econbiz.de/10005858853

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

the other hand, the recent microstructure approach to exchange rates has shown that most exchange rate volatility at short …

Persistent link: https://www.econbiz.de/10005859103

Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

GARCH Options in Incomplete Markets

Barone-Adesi, Giovanni; Engle, Robert; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich>; … - 2007

pricing model. Implied volatility smiles appear to be explained by the negative asymmetry of the ﬁltered historical … hedging in the presence of large volatility shocks. …

Persistent link: https://www.econbiz.de/10005858303

Stochastic-Volatility Gaussian Heath-Jarrow-Morton Models

Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper extends the class of deterministic volatility Heath-Jarrow-Morton (1992) models to a Markov chain stochastic … volatility framework allowing for jump discontinuities and a variety of deformations of the term structure of forward rate … volatilities. Analytical solutions for the dynamics of the volatility term structure are obtained. Semimartingale decompositions of …

Persistent link: https://www.econbiz.de/10005858311

Pricing Bermudan Swaptions in a Stochastic-Volatility LIBOR Market Model

Valchev, Stoyan; Matache, Ana-Maria - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

from a given set deﬁned by the parametric volatility speciﬁcation and the structure of a continuous time Markov chain that … modulates the volatility function. The ﬁrst stochastic volatility speciﬁcation generates jump discontinuities in volatility and … shape-preserving evolution of the volatility term structure in thefuture. The second speciﬁcation allows, in addition, for …

Persistent link: https://www.econbiz.de/10005858312

Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations

Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

Persistent link: https://www.econbiz.de/10005858366