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Do Macroeconomic Announcements Cause Asymmetric Volatility
de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003
Persistent link: https://www.econbiz.de/10011091651
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The Term Structure of Credit Spreads on Euro Corporate Bonds
van Landschoot, A. - Tilburg University, Center for Economic Research - 2003
more important for higher rated bonds (AAA and AA).The stock return and the implied volatility of the stock price seem to …
Persistent link: https://www.econbiz.de/10011090559
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GARCH and Irregularly Spaced Data
Werker, Bas J.M.; Meddahi, N.; Renault, E. - Tilburg University, Center for Economic Research - 2003
An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used …
Persistent link: https://www.econbiz.de/10011091048
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Estimating short-run persistence in mutual fund performance
ter Horst, Jenke; Verbeek, M.J.C.M. - Tilburg University, Center for Economic Research - 1997
Persistent link: https://www.econbiz.de/10011092210
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Ambiguity and Volatility : Asset Pricing Implications
Pataracchia, B. - Tilburg University, Center for Economic Research - 2011
consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …
Persistent link: https://www.econbiz.de/10011090768
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Volatility Spillover Effects in European Equity Markets
Baele, Lieven - Tilburg University, Center for Economic Research - 2003
This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …
Persistent link: https://www.econbiz.de/10011091647
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Modelling bid-ask spreads in competitive dealership markets
Koopman, S.J.M.; Lai, H.N. - Tilburg University, Center for Economic Research - 1998
Persistent link: https://www.econbiz.de/10011091704
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GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)
Cizek, Pavel; Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2011
We extend the three-step generalized methods of moments (GMM) approach of Kapoor et al. (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory variables. Combining...
Persistent link: https://www.econbiz.de/10011124438
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Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors
Jacobs, J.P.A.M.; Ligthart, J.E.; Vrijburg, H. - Tilburg University, Center for Economic Research - 2009
We extend the three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian, and Prucha (2007), which corrects for spatially correlated errors in static panel data models, by introducing a spatial lag and a one-period lag of the dependent variable as additional explanatory...
Persistent link: https://www.econbiz.de/10011090432
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Posterior analysis of stochastic volatility models with flexible tails
Steel, M.F.J. - Tilburg University, Center for Economic Research - 1995
Persistent link: https://www.econbiz.de/10011090520