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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2010

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012763325

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?

Bordo, Michael D.; Murshid, Antu Panini - 2021

We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using weekly data on bond prices and interest rates, we investigate the extent to which bilateral...

Persistent link: https://www.econbiz.de/10013249142

The Relationship between Exchange Rates and Inflation Targeting Revisited

Edwards, Sebastian - 2021

volatility is different in countries with an inflation targeting regime than in countries with alternative monetary policy …

Persistent link: https://www.econbiz.de/10013236817

Simple Variance Swaps

Martin, Ian - 2011

The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …

Persistent link: https://www.econbiz.de/10013128275

Exchange Rate Volatility and the Credit Channel in Emerging Markets : A Vertical Perspective

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021

Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...

Persistent link: https://www.econbiz.de/10013211679

Debt- and Equity-Led Capital Flow Episodes

Forbes, Kristin J. - 2012

Forbes and Warnock (2012) identify episodes of extreme capital flow movements--surges, stops, flight, and retrenchment--and find that global factors, especially global risk, are significantly associated with extreme capital flow episodes whereas domestic macroeconomic characteristics and capital...

Persistent link: https://www.econbiz.de/10013101806

Market Integration and Contagion

Bekaert, Geert - 2010

market integration and measure the proportion of volatility driven by global, regional, and local factors …

Persistent link: https://www.econbiz.de/10012762856

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