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Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010341118

Macroeconomic news and treasury futures return volatility : do treasury auctions matter?

Smales, L. A. - In: Global finance journal 48 (2021), pp. 1-30

Persistent link: https://www.econbiz.de/10012886875

Price volatility in the secondary market and bidders' heterogeneous behavior in Spanish Treasury auctions

Alvarez González, Francisco; Mazón, Cristina - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1435-1466

Persistent link: https://www.econbiz.de/10011481719

Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange

Park, Seongkyu Gilbert - 2020

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later … due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation … call auction design on closing price manipulation. Our results indicate that a plain-vanilla call auction mechanism is …

Persistent link: https://www.econbiz.de/10012846904

Call auctions with contingent orders

Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8

mechanism would be an improvement over the existing opening auction rules at stock exchanges. …

Persistent link: https://www.econbiz.de/10013368211

Dynamic and static volatility interruptions : evidence from the Korean stock markets

Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...

Persistent link: https://www.econbiz.de/10013161697

Macroeconomic News and Treasury Futures Return Volatility : Do Treasury Auctions Matter?

Smales, Lee A. - 2020

statistically significant impact on the Treasury futures market. The occurrence of an auction, which increases supply in the …

Persistent link: https://www.econbiz.de/10012849805

Information, Market Power and Price Volatility

Bergemann, Dirk - 2019

We consider demand function competition with a ﬁnite number of agents and private information. We show that any degree of market power can arise in the unique equilibrium under an information structure that is arbitrarily close to complete information. In particular, regardless of the number...

Persistent link: https://www.econbiz.de/10012862865

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10001657476

FX Market Returns and Their Relationship to Investor Fear

Smales, Lee A. - 2016

This note examines the relationship between changes in levels of investor fear (measured by VIX) and FX market returns. Our empirical results indicate a negative relationship between daily returns on high-interest rate (investing) currencies and changes in VIX, while the association is positive...

Persistent link: https://www.econbiz.de/10013001940