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Calvet, Laurent E. - 2013

Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...

Persistent link: https://www.econbiz.de/10012754523

Measuring Uncertainty

Jurado, Kyle - 2013

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...

Persistent link: https://www.econbiz.de/10013075857

Dating the Integration of World Equity Markets

Bekaert, Geert - 2008

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

Persistent link: https://www.econbiz.de/10012774881

Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

Persistent link: https://www.econbiz.de/10012774886

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D.; Cho, Dongchul - 2021

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10013225431

Blockholders and Corporate Governance

Edmans, Alex - 2013

This paper reviews the theoretical and empirical literature on the different channels through which blockholders (large shareholders) engage in corporate governance. In classical models, blockholders exert governance through direct intervention in a firm's operations, otherwise known as "voice."...

Persistent link: https://www.econbiz.de/10013073951

Asset Pricing in the Frequency Domain : Theory and Empirics

Dew-Becker, Ian - 2013

In affine asset pricing models, the innovation to the pricing kernel is a function of innovations to current and expected future values of an economic state variable, for example consumption growth, aggregate market returns, or short-term interest rates. The impulse response of this priced...

Persistent link: https://www.econbiz.de/10013076563

Media Sentiment and International Asset Prices

Fraiberger, Samuel P. - 2018

(future) daily returns around the world. However, we find a sharp contrast between the effect of local news and that of global …

Persistent link: https://www.econbiz.de/10012906764

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 2010

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012763465

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 2010

unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …

Persistent link: https://www.econbiz.de/10012763466

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