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We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012761268
We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …
Persistent link: https://www.econbiz.de/10012778140
the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …
Persistent link: https://www.econbiz.de/10013073202
information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our … findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …
Persistent link: https://www.econbiz.de/10013017087
Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...
Persistent link: https://www.econbiz.de/10013158041
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …
Persistent link: https://www.econbiz.de/10012774819
-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …
Persistent link: https://www.econbiz.de/10012763801
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …
Persistent link: https://www.econbiz.de/10012785090
In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns....
Persistent link: https://www.econbiz.de/10012763182