Showing 1 - 10 of 206
Persistent link: https://www.econbiz.de/10000986130
area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Persistent link: https://www.econbiz.de/10003979849
Persistent link: https://www.econbiz.de/10009784942
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10010366935
Persistent link: https://www.econbiz.de/10008771823
Persistent link: https://www.econbiz.de/10009722706
Persistent link: https://www.econbiz.de/10009724687
Persistent link: https://www.econbiz.de/10009724819
Persistent link: https://www.econbiz.de/10009724821