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Networks of volatility spillovers among stock markets
Baumöhl, Eduard; Kočenda, Evžen; Lyócsa, Štefan; … - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10011654569
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Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?
Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001982800
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Cereal price shocks and volatility in Sub-Saharan Africa : what does really matter for farmers' welfare?
Balié, Jean; Magrini, Emiliano; Morales Opazo, Cristian - 2016
lack of information and some misperceptions on the distinction between the welfare consequences of higher versus more … welfare heavily depend on the domestic structure of the economy. The most important factors to consider are the different … impact of higher substantially outweigh the effects of more volatile prices on farmers' welfare across the entire income …
Persistent link: https://www.econbiz.de/10011515986
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Volatility in cereal prices : intra- versus inter-annual volatility
Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578
Persistent link: https://www.econbiz.de/10010467381
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Background indicators
Raunig, Burkhard - In: Econometrics : open access journal 7 (2019) 2/20, pp. 1-17
It is customary to assume that an indicator of a latent variable is driven by the latent variable and some random noise. In contrast, a background indicator is also systematically influenced by variables outside the structural model of interest. Background indicators deserve attention because in...
Persistent link: https://www.econbiz.de/10012025817
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Bayesian Inference in Spatial Stochastic Volatility Models : An Application to House Price Returns in Chicago
Taspinar, Suleyman - 2019
In this study, we propose a spatial stochastic volatility model in which the latent log-volatility terms follow a spatial autoregressive process. Though there is no spatial correlation in the outcome equation (the mean equation), the spatial autoregressive process defined for the log-volatility...
Persistent link: https://www.econbiz.de/10012900218
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Volatility Downside Risk
Farago, Adam - 2017
This paper derives and tests the cross-sectional predictions of an intertemporal equilibrium asset pricing model with generalized disappointment aversion and time-varying macroeconomic uncertainty. To the contrary of the existing literature, disappointment may result not only from a fall in the...
Persistent link: https://www.econbiz.de/10012974740
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Structured Multivariate Volatility Models
Caporin, Massimiliano - 2009
This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices induced by economic proximity. These structured specifications aim at solving the curse of dimensionality problem, which limits feasibility of model-estimation to small...
Persistent link: https://www.econbiz.de/10012719984
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Proximity-Structured Multivariate Volatility Models
Caporin, Massimiliano - 2013
In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification and identification of structured parameterizations based on weight matrices induced by economic...
Persistent link: https://www.econbiz.de/10013095932
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Realized volatility as an instrument to official intervention
Barroso, João Barata Ribeiro Blanco - 2014
Persistent link: https://www.econbiz.de/10010471997