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hand, the overall volatility of individual returns and market returns is higher …
Persistent link: https://www.econbiz.de/10012469237
paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …
Persistent link: https://www.econbiz.de/10012463735
" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …
Persistent link: https://www.econbiz.de/10012458228
the crash of the French stock market nearly forced the closure of the Paris Bourse. This exchange's structure was very … transactions. Using new archival data, this paper shows how the crash overwhelmed the Bourse's common fund. Only an emergency loan …
Persistent link: https://www.econbiz.de/10012465723
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/10012476706
reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …
Persistent link: https://www.econbiz.de/10012472501
in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …
Persistent link: https://www.econbiz.de/10012468881
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 temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …
Persistent link: https://www.econbiz.de/10012459801
We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …
Persistent link: https://www.econbiz.de/10012465813