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Asymmetric Connectedness on the U.S. Stock Market : Bad and Good Volatility Spillovers
Baruník, Jozef - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10013023200
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10011257668
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How Prediction Markets Can Save Event Studies
Snowberg, Erik - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus …
Persistent link: https://www.econbiz.de/10013125691
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan - 2013
We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high–frequency, minute–by–minute DAX data. Our study extends the literature on high–frequency announcement effects in several ways. First, we...
Persistent link: https://www.econbiz.de/10013074401
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013
We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high–frequency, minute–by–minute DAX data. Our study extends the literature on high–frequency announcement effects in several ways. First, we...
Persistent link: https://www.econbiz.de/10010877723
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How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market
Sattarhoff, Cristina - 2018
This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency … efficiency, the larger the value of the intermittency coefficient is, the more inefficient a market would be. In contrast to … that this market becomes more efficient over time. In addition, the degree of market efficiency is overall similar to that …
Persistent link: https://www.econbiz.de/10012913274
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How Prediction Markets can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - CESifo - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus …
Persistent link: https://www.econbiz.de/10009020786
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The Existence of Informationally Efficient Markets When Individuals Are Rational
Muendler, Marc-Andreas - CESifo - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...
Persistent link: https://www.econbiz.de/10005406399
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Income Dependent Equivalence Scales, Inequality, and Poverty
Dudel, Christian - 2015
Most equivalence scales which are applied in research on poverty and inequality do not depend on income, although there is strong empirical evidence that equivalence scales in fact are income dependent. This paper explores the consistency of results derived from income independent and income...
Persistent link: https://www.econbiz.de/10013011717
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Tests of Policy Ineffectiveness in Macroeconometrics
Pesaran, M. Hashem - 2014
This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...
Persistent link: https://www.econbiz.de/10013050473