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describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
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introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as … develop and implement an estimation procedure for this model. Our estimates provide evidence for self-excitation both in the …
Persistent link: https://www.econbiz.de/10013146261
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as … develop and implement an estimation procedure for this model. Our estimates provide evidence for self-excitation both in the …
Persistent link: https://www.econbiz.de/10012462802
In this paper, we analyze the connection between climate change and stock return volatility. We use temperature … return volatility is episodic and varies with different degrees of intensity of high-temperature anomalies and technology …
Persistent link: https://www.econbiz.de/10014357001
This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two-good, two-bond model. We use an asymmetric set-up in the model, where one of the countries is emerging and the other one is developed and both countries issue bonds in domestic...
Persistent link: https://www.econbiz.de/10013036543