Narrow search
Showing 1 - 10 of 895
Cover Image
Asymptotic Filtering Theory for Multivariate Arch Models
Nelson, Daniel B. - 2008
, market returns, implicit volatility from options contracts, and other relevant data. We also allow for time-varying shapes of …
Persistent link: https://www.econbiz.de/10012775003
Cover Image
Growth Through Heterogeneous Innovations
Akcigit, Ufuk - 2014
and small firms have relatively higher growth spillover effects …
Persistent link: https://www.econbiz.de/10013069065
Cover Image
Spillovers Across U.S. Financial Markets
Sack, Brian P. - 2003
Movements in the prices of different assets are likely to directly influence one another. This paper develops a model that identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we...
Persistent link: https://www.econbiz.de/10012786621
Cover Image
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
Cover Image
High-Frequency, Algorithmic Spillovers between NASDAQ and Forex
Ito, Takatoshi - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10013023679
Cover Image
Large Employers are More Cyclically Sensitive
Moscarini, Giuseppe - 2010
We provide new evidence that large firms or establishments are more sensitive than small ones to business cycle conditions. Larger employers shed proportionally more jobs in recessions and create more of their new jobs late in expansions, both in gross and net terms. We employ a variety of...
Persistent link: https://www.econbiz.de/10012757713
Cover Image
On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
Canova, Fabio - 2008
but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982 …
Persistent link: https://www.econbiz.de/10012774551
Cover Image
Transmission of Volatility between Stock Markets
King, Mervyn - 2008
with volatility …
Persistent link: https://www.econbiz.de/10012774536
Cover Image
Estimating Conditional Expectations When Volatility Fluctuates
Stambaugh, Robert F. - 2007
a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …
Persistent link: https://www.econbiz.de/10012778851
Cover Image
Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2006
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …
Persistent link: https://www.econbiz.de/10012783833