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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005
This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...
Persistent link: https://www.econbiz.de/10011583556
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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The Variance Risk Premium : Components, Term Structures, and Stock Return Predictability
Li, Junye - 2016
captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and …
Persistent link: https://www.econbiz.de/10013006382
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …
Persistent link: https://www.econbiz.de/10013128339
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Volatility forecasting in European government bond markets
Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709
Persistent link: https://www.econbiz.de/10013274332
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …
Persistent link: https://www.econbiz.de/10013128856
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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Modeling Stock Returns Using Asymmetric Garch-Icapm with Mixture and Heavy-Tailed Distributions : An Application to COVID-19 Pandemic Forecasts
Khanthaporn, Rewat; Wichitaksorn, Nuttanan - 2021
COVID-19 pandemic is an extreme event that created a turmoil in stock markets around the world. This unexpected circumstance poses a critical question whether the prevailing models can help predict the plummets of indices, hence the returns. In this study, we model the stock returns using...
Persistent link: https://www.econbiz.de/10013236407