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Time-varying risk premia and the efficiency of the New Zealand foreign exchange market

Margaritis, Dimitris; Teo, Phay-hoon - 1991

Persistent link: https://www.econbiz.de/10000914878

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013

substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

Persistent link: https://www.econbiz.de/10010203684

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010249730

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2021

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...

Persistent link: https://www.econbiz.de/10012655372

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

Procyclical leverage in Europe and its role in asset pricing

Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019

Broker-dealer leverage has recently proven to be strongly procyclical, exhibiting impressive explanatory power for a large cross-section of asset returns in the US. In this paper we add empirical evidence to this finding, showing that European and German broker-dealers actively manage their...

Persistent link: https://www.econbiz.de/10011987800

Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Delta-neutral volatility trading with intra-day prices : an application to options on the DAX

Schmitt, Christian; Kaehler, Jürgen - 1996

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …

Persistent link: https://www.econbiz.de/10011622744

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709