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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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Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …
Persistent link: https://www.econbiz.de/10014400415
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Predictable Movements in Yen/DM Exchange Rates
Kongsamut, Qingying - 2000
This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support PPP and find that the real exchange rate is...
Persistent link: https://www.econbiz.de/10014399967
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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
-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However …
Persistent link: https://www.econbiz.de/10014398637
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Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928
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Monetary policy and intangible investment
Döttling, Robin; Ratnovski, Lev - 2020
We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fed Funds futures movements around FOMC announcements. Consistent with the stock...
Persistent link: https://www.econbiz.de/10012300640
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Heterogeneity and persistence in returns to wealth
Fagereng, Andreas; Guiso, Luigi; Malacrino, Davide; … - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...
Persistent link: https://www.econbiz.de/10011905850
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Explaining International Comovements of Output and Asset Returns : The Role of Money and Nominal Rigidities
Kollman, Robert Miguel W. K. - 1999
Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact....
Persistent link: https://www.econbiz.de/10014400201
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Del Negro, Marco - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10014400963