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Borensztein, Eduardo - 2009

through two channels. First, by reducing export income volatility and allowing for a smoother consumption path. Second, by …

Persistent link: https://www.econbiz.de/10014402269

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

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

Persistent link: https://www.econbiz.de/10014399716

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns'' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10014402029

Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices

Chan-Lau, Jorge A. - 2006

This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In...

Persistent link: https://www.econbiz.de/10014402251

Commodities and the Market Price of Risk

Roache, Shaun K. - 2008

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying risk factors. In this paper, I assess the macro risk exposure offered by commodity...

Persistent link: https://www.econbiz.de/10014401380

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

Erbil, Nese - 2010

How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interest rates, which means that such shocks lead to an adjustment back towards a stable...