Narrow search
Showing 1 - 10 of 18,016
Cover Image
Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - School of Economics and Management, University of Aarhus - 2012
implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new … for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the … persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts …
Persistent link: https://www.econbiz.de/10010851207
Cover Image
The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
Cover Image
The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011255975
Cover Image
The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Institute - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10005209449
Cover Image
AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS
León, Ángel; Rubio, Gonzalo; Serna, Gregorio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is …
Persistent link: https://www.econbiz.de/10005212606
Cover Image
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010837529
Cover Image
Pricing default swaps: empirical evidence
Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2003
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10010837767
Cover Image
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010731658
Cover Image
Are European Corporate Bond and Default Swap Markets Segmented?
Cossin, Didier; Lu, Hongze - Swiss Finance Institute - 2005
and CDS rates behave in a much closer way than previous studies have shown. We also find that high equity volatility …
Persistent link: https://www.econbiz.de/10005771833
Cover Image
Parametric estimation of risk neutral density functions
Grith, Maria; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...
Persistent link: https://www.econbiz.de/10008492664