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Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin; McAleer, Michael - In: International journal of economic theory 11 (2015) 4, pp. 389-404
Persistent link: https://www.econbiz.de/10011415577
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Is short-term debt a substitute for or complementary to good governance?
Anginer, Deniz; Demirgüç-Kunt, Asli; Simsir, Serif Aziz; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 197-208
Short-term debt can reduce potential agency conflicts between managers and shareholders by exposing managers to more frequent monitoring by the credit market. Using an international dataset, we examine whether internal monitoring can substitute for external monitoring through the use of...
Persistent link: https://www.econbiz.de/10013183869
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent economics & finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012023352
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …
Persistent link: https://www.econbiz.de/10010399734
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Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic
Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …
Persistent link: https://www.econbiz.de/10012795039
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Endogenous indeterminacy and volatility of asset prices under ambiguity
Mandler, Michael - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 3, pp. 729-750
volatility of asset prices: small changes in supplies necessarily lead to a big price response. …
Persistent link: https://www.econbiz.de/10011685225
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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The effect of new futures contracts on gold futures price volatility : evidence from the Thailand futures exchange
Woradee Jongadsayakul - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …
Persistent link: https://www.econbiz.de/10013179506
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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …/equal/lower values of implied volatility for each of three points. Furthermore, we distinguish the convexity of pattern. We can note that …
Persistent link: https://www.econbiz.de/10011958447