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Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads
Shaw, Charles - 2019
volatility regimes. Results indicate that ignoring the complex and dynamic dependence structure in favour of certain model …
Persistent link: https://www.econbiz.de/10012896045
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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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Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement
Han, Bing - 2017
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...
Persistent link: https://www.econbiz.de/10012972769
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The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …
Persistent link: https://www.econbiz.de/10012938568
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The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …
Persistent link: https://www.econbiz.de/10012940149
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Monetary policy and local industry structure
Popov, Alexander; Steininger, Lea - 2023
We study how monetary policy affects local market competition in a union of countries experiencing different economic conditions: the euro area. We find that when monetary conditions tighten (loosen), from the point of view of an individual economy, market concentration increases (declines)....
Persistent link: https://www.econbiz.de/10013552619
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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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Volatility dynamics in three euro exchange rates : correlations, spillovers and commonality
McMillan, David G.; Ruiz, Isabel - In: International journal of financial markets and derivatives 1 (2009) 1, pp. 64-74
Persistent link: https://www.econbiz.de/10003984988
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Volatility Dynamics in Three Euro Exchange Rates : Correlations, Spillovers and Commonality
McMillan, David G. - 2009
In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …
Persistent link: https://www.econbiz.de/10013155913
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Weekday Variation in the Leverage Effect : A Puzzle
Smith, Geoffrey Peter - 2016
the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday …
Persistent link: https://www.econbiz.de/10012993979