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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper
Strohsal, Till; Weber, Enzo - 2013
In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …
Persistent link: https://www.econbiz.de/10010339937
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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. A comparable … combination of plausibility and estimation precision has not been delivered in the related literature. Our results thus provide …
Persistent link: https://www.econbiz.de/10010491152
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
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The impact of information risk and market stress on institutional trading : new evidence through the lens of a simulated herd model ; conference paper
Boortz, Christopher K.; Jurkatis, Simon; Kremer, Stephanie - 2013
This paper sheds new light on the impact of information risk and market stress on herding of institutional traders from both, a theoretical and an empirical perspective. Using numerical simulations of a herd model, we show that buy and sell herding intensity should increase with information...
Persistent link: https://www.econbiz.de/10010343757
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Security market imperfections in worldwide equity markets
Keim, Donald B. (contributor);  … - 2000
Persistent link: https://www.econbiz.de/10000968945
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Volatility : risk and uncertainty in financial markets
Schwartz, Robert A. (contributor);  … - 2011
Persistent link: https://www.econbiz.de/10008760187
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...
Persistent link: https://www.econbiz.de/10010480543
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10010482490
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998
Die Beiträge des Bandes befassen sich mit den Mechanismen der Preisbildung auf den Finanz- und Devisenmärkten. Besonderes Interesse gilt der Rolle von Spekulation und Arbitrage und der sich daraus ergebenden Volatilität der Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die...
Persistent link: https://www.econbiz.de/10011401983