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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010

In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...

Persistent link: https://www.econbiz.de/10009305103

Do Financial Variables Provide Information About the Swiss Business Cycle?

Alessandrini, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper extends the literature on the information content of financial variables with respect to future economic growth. It shows that variables originating from both the equity market and the bond market in Switzerland are useful indicators for forecasting the Swiss business cycle. In...

Persistent link: https://www.econbiz.de/10005859003

Eliciting Motives for Trust and Reciprocity by Attitudinal and Behavioural Measures

Farina, Francesco; O'Higgins, Niall; Sbriglia, Patrizia - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008

Value Surveys may reveal well-behaved societies by the statistical treatment of the agents` declarations of compliance with social values. Similarly, the results of experiments conducted on games with conflict of interest trace back to two important primitives of social capital trust and...

Persistent link: https://www.econbiz.de/10005859519

A Bivariate Ordered Probit Estimator with Mixed Effects

Buscha, Franz; Conte, Anna - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2009

In this paper, we discuss the derivation and application of a bivariate ordered probit modelwith mixed effects. Our approach allows one to estimate the distribution of the effect (gamma) of anendogenous ordered variable on an ordered explanatory variable. By allowing gamma to vary over...

Persistent link: https://www.econbiz.de/10005870967

Performance appraisal and career opportunities: A case study

Mohn, Klaus; Kvaløy, Ola; Hunnes, Arngrim - Universitetet <Stavanger> / School of Business …

leaders and employees in an large international oil company. The purpose is to provide robust empiricalinsights on the individual and organisational determinants of perceived performance appraisalDesign/methodology/approach – Based on a powerful set of survey data (n 12,000), we specify...

Persistent link: https://www.econbiz.de/10009305227

Occupational health and work climate: A case study of survey data

Mohn, Klaus - Universitetet <Stavanger> / School of Business … - 2008

Work-related health problems represent a latent threat to job motivation and organisational performance,with high potential costs both for private and public enterprises. Based on powerful survey data from aninternational oil company in Norway, we explore how work-related health problems are...

Persistent link: https://www.econbiz.de/10009305229

Support Vector Regression Based GARCH Model with Application to ForecastingVolatility of Financial Returns

Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

Persistent link: https://www.econbiz.de/10005860742

Value-at-Risk and Expected Shortfall when there is long range dependence

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10005860751

A stochastic volatility Libor model and its robust calibration

Belomestny, Denis; Matthew, Stanley; Schoenmakers, John - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this paper we propose a Libor model with a high-dimensional speciallystructured system of driving CIR volatility …

Persistent link: https://www.econbiz.de/10005860831

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied … Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small … investigating long range dependencein the factor loadings series. Our result reveals that shocks to volatility persistfor a very …

Persistent link: https://www.econbiz.de/10005861020