Showing 1 - 10 of 2,183
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010574828
The returns of many financial assets show significant skewness, but in the literature this issue is only marginally dealt with. Our conjecture is that this distributional asymmetry may be due to two different dynamics in positive and negative returns. In this paper we propose a process that...
Persistent link: https://www.econbiz.de/10005800561
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10009275673
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010706618
This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX...
Persistent link: https://www.econbiz.de/10012905621
Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. According to the efficient market hypothesis, since implied volatilities are calculated based upon today's pricing information, they contain the best information about the market....
Persistent link: https://www.econbiz.de/10013116598
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10003821060
This paper shows that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, (unconditional) combinations, and hybrid forecasts. Hence, it finds empirical evidence that both, combining...
Persistent link: https://www.econbiz.de/10012720373
This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...
Persistent link: https://www.econbiz.de/10014351609