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The 2019 government shutdown increased uncertainty in major agricultural commodity markets
Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012817189
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Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation
Gruber, Peter H. - 2011
stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … by 20%. Using an appropriate decomposition of volatility and skewness, highlighting the main directions of improvements …, suggesting volatility- unrelated skewness as a potentially useful reduced-form risk factor for reproducing some of the crisis …
Persistent link: https://www.econbiz.de/10013128475
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How Asymmetric is U.S. Stock Market Volatility?
Ederington, Louis H. - 2009
This paper explores differences in the impact of equally large positive and negative surprise return shocks in the aggregate U.S. stock market on: 1) the volatility predictions of asymmetric time series models, 2) implied volatility, and 3) realized volatility. Both asymmetric time series models...
Persistent link: https://www.econbiz.de/10013159746
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Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets
Smales, Lee A. - 2019
Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...
Persistent link: https://www.econbiz.de/10012867250
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Optimal hedge ratio in Turkish stock index futures market : a deco-fiaparch approach
Çelik, Ismail; Sak, Ahmet Furkan - In: Financial studies 25 (2021) 4, pp. 17-33
This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019, total of 3,508 daily observations. The...
Persistent link: https://www.econbiz.de/10012793517
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Structural Breaks in GARCH Processes Do Matter
Sichert, Tobias - 2020
-point GARCH model is able to overcome this bias. Similarly, a GARCH option pricing model systemically overprices options in calm …
Persistent link: https://www.econbiz.de/10012846796
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The Risk Return Relationship : Evidence from Index Returns and Realised Variances
Yang, Minxian - 2020
This paper provides new evidence on the risk return relationship by jointly analysing index return and realised variance (RV) series. It is argued that the contemporaneous correlation (CC) between the return and RV, which has been largely overlooked in the literature, is a crucial component in...
Persistent link: https://www.econbiz.de/10012848134
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Volatility Stylized Facts
Masset, Philippe - 2011
This paper investigates a variety of features exhibited by the amplitude of stock returns. Some of these "stylized facts" have already attracted a great deal of attention from researchers, while some others have been documented only recently. - Horizontal dependence of volatility: Volatility is...
Persistent link: https://www.econbiz.de/10013127555
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Can derivative information predict stock price jumps?
Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860
Persistent link: https://www.econbiz.de/10011304812