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(i) the optimal timing of cartel defection is pro-cyclical, suggesting higher probability of competitive pricing during …-cyclical pricing prediction originally due to Rotemberg and Saloner [Rotemberg, J., Saloner, G., 1986. A supergame-theoretic model of …
Persistent link: https://www.econbiz.de/10014225374
This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and...
Persistent link: https://www.econbiz.de/10013012057
Persistent link: https://www.econbiz.de/10011976161
Recent work has shown that microeconomic shocks at the firm and sector level account for a substantial share of output volatility. We examine whether this relationship holds for house price growth volatility, which also declined during the Great Moderation and increased after 2001. Using a novel...
Persistent link: https://www.econbiz.de/10011775552
This paper aims to investigate the impact of various COVID-19 pandemic waves on real estate stock returns and their volatility in developed (US, Australia), emerging (Turkey, Poland), and frontier (Morocco, Jordan) markets. A study using a GJR-GARCHX model revealed that the pandemic outbreak had...
Persistent link: https://www.econbiz.de/10012626774
Persistent link: https://www.econbiz.de/10012607438
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10010302536
it for its valuation into a straight bond and a short position in a European put with a similar barrier. In the pricing …
Persistent link: https://www.econbiz.de/10011431345
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...
Persistent link: https://www.econbiz.de/10011451148
Dieser Literaturüberblick wertet 35 Forschungsarbeiten aus, die zwischen 2010 und 2012 veröffentlicht wurden und den Einfluss der Finanzspekulation auf die Agrarrohstoffmärkte empirisch untersuchen: Gemäß aktuellem Erkenntnisstand spricht wenig für die Auffassung, dass die Zunahme der...
Persistent link: https://www.econbiz.de/10011733840