Showing 1 - 10 of 283
augmented GARCH process of Duan (1997). The Lévy flight includes a method for scaling up a single-day volatility to a multi …-day volatility, precisely a ?-root-of-time rule, where ? is the characteristic parameter of the process. We use this rule to forecast … future volatility and as a result estimate Value-at-Risk (VaR) several days ahead and compare it to the RiskMetricsTM (1996 …
Persistent link: https://www.econbiz.de/10005792337
In this Paper we investigate the ability of different models to produce useful VaR-estimates for exchange rate positions. We make a distinction between models that include sophisticated tail properties and models that do not. The former type of models often leads to too extreme VaR-estimates,...
Persistent link: https://www.econbiz.de/10005123557
? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …
Persistent link: https://www.econbiz.de/10005498159
We use a panel of more than 100,000 investor accounts in US stocks over the period 1991-95 to construct an investor-based measure of dispersion of opinion, unlike the analyst based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors...
Persistent link: https://www.econbiz.de/10005067367
commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …
Persistent link: https://www.econbiz.de/10005067451
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …
Persistent link: https://www.econbiz.de/10005662245
implications about the expected relationship between the preponderance of disposition investors in the market and stock volatility … fraction of ‘irrational’ investor trades in a stock increases, stock volatility, return and trading volume decrease. We further …
Persistent link: https://www.econbiz.de/10005791546
to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …
Persistent link: https://www.econbiz.de/10011083709
The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...
Persistent link: https://www.econbiz.de/10011084671
This paper examines the relationship between fiscal policy and the current account, drawing on a larger country sample than in previous studies and using panel regressions, vector auto-regressions, and an analysis of large fiscal and external adjustments. On average, a strengthening in the...
Persistent link: https://www.econbiz.de/10008468562