This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …

macroeconomic interest volatility exposure. Microeconomic on-balance interest risk exposure from maturity transformation, however …

on participating contracts in Germany, we find that binding guarantees reduced inter-cohort transfer by 10 basis points …

. We find evidence that the overall inequality of earnings in Germany has been rising throughout the period due to both … higher permanent inequality and higher volatility. However, taking the welfare state and its institutions into account, we … ; Transitory Income Volatility ; Earnings Dynamics ; Safety Net ; Transfer Payments …

This paper uncovers ongoing trends in idiosyncratic earnings volatility across generations by decomposing residual …

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

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 …