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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
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Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con …
Persistent link: https://www.econbiz.de/10010263741
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Endogenous Uncertainty and Market Volatility
Kurz, Mordecai; Motolese, Maurizio - 1999
Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy … Uncertainty. This paper shows that most of the observed volatility in financial markets is generated by the beliefs of the agents …
Persistent link: https://www.econbiz.de/10011608491
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Volatility, Information and Stock Market Crashes
Antonakakis, Nikolaos; Scharler, Johann - 2009
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …
Persistent link: https://www.econbiz.de/10010294846
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010297797
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010303739
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The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010324062
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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011
an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …
Persistent link: https://www.econbiz.de/10010305714
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Capital controls, exchange rate volatility and risk premium
Frenkel, Michael; Stadtmann, Georg - 2002
Capital controls lower the variability of the exchange rate and reduce the risk premium as well as the domestic interest rate. On the other hand, capital controls reduce the number of noise traders and, therefore, the risk-bearing capacity of the market, leading to higher interest rates and a...
Persistent link: https://www.econbiz.de/10010301757
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10010291529