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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10012871648
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
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Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility
Böck, Maximilian; Crespo Cuaresma, Jesus; Glocker, … - 2022
, and (iii) employment protection – shape fiscal multipliers and output volatility. Our theoretical model highlights that … more stringent labor market institutions attenuate both fiscal spending multipliers and macroeconomic volatility. This is …
Persistent link: https://www.econbiz.de/10014083477
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Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?
Adam, Klaus - 2019
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset pricing literature are consistent with the survey...
Persistent link: https://www.econbiz.de/10012892287
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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10013353456
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The Term Structure of Interest Rates in a Heterogeneous Monetary Union
Costain, James S.; Nuno, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10014080055
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Nonlinear Business Cycle and Optimal Policy : A VSTAR Perspective
Polito, Vito - 2020
This paper studies optimal macroeconomic policy when nonlinearity in the business cycle is described by a vector smooth transition autoregression (VSTAR). A structural identification of the VSTAR that yields a low-dimension and certainty-equivalent nonlinear quadratic regulator (NLQR) problem is...
Persistent link: https://www.econbiz.de/10012842681
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Endogenous Repo Cycles
Arbuzov, Vyacheslav - 2019
This paper presents a simple and tractable equilibrium model of repos, where collateralized credit emerges under limited commitment. We show that even if there is no time variation in fundamentals, repo markets can fluctuate endogenously over time. In our theory, repo market fragilities are...
Persistent link: https://www.econbiz.de/10012892066