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The effect of time-induced stress on financial decision making in real markets : the case of traffic congestion
Gelʹman, Sergej V.; Kliger, Doron - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 814-841
Persistent link: https://www.econbiz.de/10012601396
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Forecasting a Volatility Tsunami
Thrasher, Andrew - 2017
The empirical aim of this paper is motivated by the anecdotal belief among the professional and non-professional investment community, that a “low” reading in the CBOE Volatility Index (VIX) or large decline alone are ample reasons to believe that volatility will spike in the near future....
Persistent link: https://www.econbiz.de/10012958955
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Medium and Long Term Implications of Lending in the Flood Zone : Effect on Bank Returns and Volatility
Petkov, Ivan - 2023
loans in census tracts with extended flood zones. This is associated with lower and more volatile returns, particularly for … small business lending. I find that not all lending originated in the flood zone can lead to worse performance. Banks that …
Persistent link: https://www.econbiz.de/10014257023
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FORECASTING FOREX VOLATILITY IN TURBULENT TIMES
Mohnot, Rajesh - In: Global Journal of Business Research 5 (2011) 1, pp. 27-38
forecasting can be made at least for the next day given the high degree of volatility in the crisis period. The paper also reveals …
Persistent link: https://www.econbiz.de/10011205925
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Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
Hwang, Soosung; Knight, John; Satchell, Stephen E. - In: Annals of Economics and Finance 2 (2001) 1, pp. 187-213
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …
Persistent link: https://www.econbiz.de/10009145691
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Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
Hwang, Soosung; Knight, John; Satchell, Stephen E. - China Economics and Management Academy, Central … - 2000
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …
Persistent link: https://www.econbiz.de/10009207423
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INTERDEPENDENCE AND FORECASTING OF S&P500, OIL, EURO / DOLLAR AND 10-YEAR U.S. INTEREST RATE MARKETS: AN ATTEMPT OF MODELLING THROUGH THE VOLATILITY
KSAIER, Ahmed; Isabelle CRISTIANI-D’ORNANO - In: Review of Economic and Business Studies (2010) 6, pp. 145-166
We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of...
Persistent link: https://www.econbiz.de/10009322714
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Forecasting growth during the Great Recession: is financial volatility the missing ingredient?
Ferrara, Laurent; Marsilli, Clément; Ortega, Juan-Pablo - In: Economic Modelling 36 (2014) C, pp. 44-50
ability to anticipate the output growth. For this purpose, we propose an extended MIDAS model that allows the forecasting of …
Persistent link: https://www.econbiz.de/10010729831
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An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns
Rodriguez, Gabriel; Tramontana, Roxana - Departamento de Economía, Pontificia Universidad … - 2014
account, the long memory characteristic and the GARCH e§ects disappear. An out-of-sample forecasting exercise is also provided …
Persistent link: https://www.econbiz.de/10011105601
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A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting
Liu, Li; Wan, Jieqiu - In: Economic Modelling 29 (2012) 6, pp. 2245-2253
forecasting fuel oil price volatility, regardless the proxy of actual volatility. Finally, we investigate the major source of such …
Persistent link: https://www.econbiz.de/10010588207