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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration
Richards, Anthony J. - 1996
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory...
Persistent link: https://www.econbiz.de/10014398637
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Winner-Loser Reversals in National Stock Market Indices : Can they Be Explained?
Richards, Anthony J. - 1997
This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk...
Persistent link: https://www.econbiz.de/10014403316
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …
Persistent link: https://www.econbiz.de/10012154614
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Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and their Systematic Components
Ivaschenko, Iryna V. - 2001
This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the future, even upon controlling for a commonly used predictor such as the commercial...
Persistent link: https://www.econbiz.de/10014400877
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Currency Risk Premia in Global Stock Markets
Merritt, Matthew D. - 2006
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not...
Persistent link: https://www.econbiz.de/10014402492
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …
Persistent link: https://www.econbiz.de/10014400896
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Conformism and public news
Desgranges, Gabriel; Rochon, Céline - 2011
Persistent link: https://www.econbiz.de/10009487106
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Conformism and Public News
Rochon, Céline - 2011
We study a model where investment decisions are based on investors’ information about the unknown and endogenous return of the investment. The information of investors consists of endogenously determined messages sold by financial analysts who have access to both public and private information...
Persistent link: https://www.econbiz.de/10014402493