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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
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10013428452
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Size-related biases in event study methodology : an example and a comparison of correction methods
Lauterbach, Beni; Vu, Joseph D. - 1990
Persistent link: https://www.econbiz.de/10000798548
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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
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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What triggers stock market jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
Persistent link: https://www.econbiz.de/10012614411
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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10013428399
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Asset prices and alternative characterizations of the pricing kernel
Lüders, Erik - 2002
volatility. Hence, they are viable alternatives to the geometric Brownian motion. …
Persistent link: https://www.econbiz.de/10013428466