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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

Persistent link: https://www.econbiz.de/10010339937

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Volatility : risk and uncertainty in financial markets

Schwartz, Robert A. (contributor); … - 2011

Persistent link: https://www.econbiz.de/10008760187

The value of the revolving door : political appointees and the stock market ; conference paper

Lüchinger, Simon; Moser, Christoph - 2014

We analyze stock market reactions to announcements of political appointments from the private sector and corporate appointments of former government officials. Using unique data on corporate affiliations and announcements of all Senate-confirmed U.S. Defense Department appointees of six...

Persistent link: https://www.econbiz.de/10010490694

Behavioral Finance and Asset Prices : The Influence of Investor's Emotions

Bourghelle, David (ed.); Grandin, Pascal (ed.); … - IEAP Meeting: Investor Emotions & Asset Pricing <1., … - 2023

Countries -- Chapter 2. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment … levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume …