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A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297
Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this version have been presented. To assume that the CAPM...
Persistent link: https://www.econbiz.de/10005434714
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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - EconWPA - 2001
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/10005413092
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Forecasting Implied Volatility Surfaces
Audrino, Francesco; Colagelo, Dominik - School of Economics and Political Science, Universität … - 2007
We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning … implied volatility. To overcome the poor predicting power of existing models, we include a grid in the region of interest, and …
Persistent link: https://www.econbiz.de/10005453978
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Autorregresive conditional volatility, skewness and kurtosis
León, Angel; Serna, Gregorio; Rubio Irigoyen, Gonzalo - Departamento de Fundamentos del Análisis Económico … - 2002
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is …
Persistent link: https://www.econbiz.de/10004972691
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Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
Otsubo, Yoichi - Luxembourg School of Finance, Faculté de droit, … - 2012
This study provides a case that the Thompson Waller estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price change associated to such orders are small. The upward...
Persistent link: https://www.econbiz.de/10011095079
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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
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Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International Review of Financial Analysis 31 (2014) C, pp. 101-108
The purpose of this paper is to introduce a stochastic volatility model for option pricing that exhibits Lévy jump …
Persistent link: https://www.econbiz.de/10010738217
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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
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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
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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