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build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data …
Persistent link: https://www.econbiz.de/10012897016
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile regression framework and rely on recently developed...
Persistent link: https://www.econbiz.de/10010407475
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...
Persistent link: https://www.econbiz.de/10012022330
This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...
Persistent link: https://www.econbiz.de/10011887525
This paper investigates the nonlinear risk transmission from the oil and natural gas markets to the foreign exchange markets of five energy importers and one major energy exporter. We separate conditional volatility into the transitory (short-term) and permanent (long-term) parts, and then these...
Persistent link: https://www.econbiz.de/10015073350
by the average house values. In auctions, competition among buyers drives up prices to the willingness to pay of the …
Persistent link: https://www.econbiz.de/10012854225
I develop a tractable dynamic model of the housing market where the prices are determined in auctions rather than by … Nash bargaining as in the housing search model from the literature. The model with auctions mimics the actual housing …
Persistent link: https://www.econbiz.de/10012855899
We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates … higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show … that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed …
Persistent link: https://www.econbiz.de/10013368211
This study examines the difference in the intraday return-volume relationships of spot and index futures. Quantile regression analyses show that the widening effect of the stock trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...
Persistent link: https://www.econbiz.de/10011901877
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...
Persistent link: https://www.econbiz.de/10011986884