Similar Search Results

Do Financial Variables Provide Information About the Swiss Business Cycle?

Alessandrini, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper extends the literature on the information content of financial variables with respect to future economic growth. It shows that variables originating from both the equity market and the bond market in Switzerland are useful indicators for forecasting the Swiss business cycle. In...

Persistent link: https://www.econbiz.de/10005859003

Volatility-induced Financial Growth

Dempster, Michael A.H.; Evstigneev, Igor V.; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

We show that the volatility of a price process, which is usuallyregarded as an impediment to ﬁnancial growth, can serve …

Persistent link: https://www.econbiz.de/10005858396

An Entropy Approach to the Stein/Stein model with correlation

Rheinlaender, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

and Stein stochastic volatility model driven by two correlated Brownian motion. It turns out that in case the mean …

Persistent link: https://www.econbiz.de/10005858499

Momentum Traders and Instabilities of Financial Markets

Rheinlaender, Thorsten; Steinkamp, Marcus - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In a heterogenous agents framework, we study a randomized version of Zeeman's market model with fundamental and momentum traders. Using methods from random dynamical systems theory, we examine convergence properties of invariant measures which correspond to market equilibria. It turns out that...

Persistent link: https://www.econbiz.de/10005858500

Valuation in a simplifiedBarndorff-Nielsen Shepard Model

Steiger, Gallus - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

complex models as for example stochastic volatility model of Barndorff-Nielsen and Shephard (2001) have been developed. This … in future volatility.[...] …

Persistent link: https://www.econbiz.de/10005858547

Pricing Prepayment Option in C&I Loans at Origination

Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

the forward interest rate volatility but very sensitive to the forward credit spread volatility. …

Persistent link: https://www.econbiz.de/10005858717

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

Persistent link: https://www.econbiz.de/10005858854

A multivariate FGD technique to improve VaR computation in equity markets

Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

descent (FGD) estimation for the volatility matrix (Audrino and Buhlmann, 2002) in connection with asset historical simulation … (volatility) function estimation. We concentrate our empirical investigations on the Swiss pharmaceutical and the US …

Persistent link: https://www.econbiz.de/10005858933

Local Likelihood for non-parametric ARCH(1) models

Vanini, Paolo; Vignola, Luigi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

We propose a local likelihood estimation for the log-transformed ARCH(1) model in the financial field. Our …

Persistent link: https://www.econbiz.de/10005858937

A Discrete Sine Transform for Multi-Scales Realized Volatility Measures

Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …

Persistent link: https://www.econbiz.de/10005859008