Showing 1 - 10 of 2,494
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …
Persistent link: https://www.econbiz.de/10012783965
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …
Persistent link: https://www.econbiz.de/10013210541
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10013224964
very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from … that they would be exposed to risk from fluctuations in their electricity cost. The concern seems to be that a customer … larger than it had budgeted for. I analyze the magnitude of this risk, using demand data from 1142 large industrial customers …
Persistent link: https://www.econbiz.de/10012760642
volatility, thus providing an explanation for the "excessive volatility puzzle" of bond yields. In addition, the fluctuation in … the two groups' expectations and relative wealth also generates time-varying risk premia, which in turn can help explain …
Persistent link: https://www.econbiz.de/10013225044
reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …
Persistent link: https://www.econbiz.de/10012774923
provide hedging services but they are also subject to speculation because traders do not necessarily agree about their payoffs … towards increasing the opportunities for speculation rather than risk sharing …While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …
Persistent link: https://www.econbiz.de/10013119601
In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...
Persistent link: https://www.econbiz.de/10013031016
Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …
Persistent link: https://www.econbiz.de/10013222332
What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …
Persistent link: https://www.econbiz.de/10012784980