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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
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La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)
Mattioli, Lisa; Ferretti, Riccardo - Dipartimento di Economia "Marco Biagi", Università … - 2013
effect of these bans on liquidity, returns, volatility and market efficiency comparing a sample of 23 financial stocks with a …, volatility and market efficiency between the two groups, testifying the inability of restrictions to achieve the purpose for …
Persistent link: https://www.econbiz.de/10010691998
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Recent Developments in Financial Economics and Econometrics:An Overview
Chang, Chia-Lin; Allen, David E; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10010860064
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The impact of the French Tobin tax
Becchetti, L.; Ferrari, M.; Trenta, U. - In: Journal of Financial Stability 15 (2014) C, pp. 127-148
volatility of the affected stocks with nonparametric tests on individual stocks, difference-in-difference tests and other … significant reduction in turnover and volatility (measured in terms of stock price volatility and the high–low price range) and …
Persistent link: https://www.econbiz.de/10011116607
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10010778692
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Department of Economics and Finance, College of … - 2013
regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage …
Persistent link: https://www.econbiz.de/10010907402
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The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension
Camilleri, Silvio John - Volkswirtschaftliche Fakultät, … - 2015
The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the … volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and … scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally …
Persistent link: https://www.econbiz.de/10011211859
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Responsibility of States and Central Banks in the Euro Crisis
Sinn, Hans-Werner - In: CESifo Forum 15 (2014) 1, pp. 03-36
1. Regulatory reasons for the crisis <br>2. Refinancing credit and Target balances <br>2.1 Target balances <br>2.2 Target balances and fiscal rescue credit <br>2.3 The lowering of collateral standards for refinancing credit <br>2.4 Indirect state financing via refinancing credit to commercial banks <br>3. ECB...
Persistent link: https://www.econbiz.de/10011148828
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DETERMINANTS OF THE HOME PRICE- INCOME RELATIONSHIP: 1990-2011
Holstein, Adora D.; Brian O’Roark; Lu, Min - In: Global Journal of Business Research 7 (2013) 3, pp. 15-30
Many studies have attributed the housing bubble or misalignment of home price and income to inefficient markets, irrational behavior, excessive leverage, financial innovations, macroeconomic imbalances, the Fed’s easy money policy, and repeal of the Glass-Steagal Act. However, no study...
Persistent link: https://www.econbiz.de/10011205711
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Financial Legislation: The Promise and Record of the Financial Modernization Act of 1999
Tatom, John - Volkswirtschaftliche Fakultät, … - 2010
On November 12, 1999, President Clinton signed the most significant piece of financial services regulation to be enacted since the Great Depression, at least up to that time. When the Financial Service Modernization Act of 1999, better known as the Gramm-Leach-Bliley Act (GLBA), was signed, the...
Persistent link: https://www.econbiz.de/10008615042