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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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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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Market microstructure : confronting many viewpoints
Abergel, Frédéric (ed.);  … - 2012
Persistent link: https://www.econbiz.de/10009524952
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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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Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper
Fricke, Daniel; Gerig, Austin - 2014
Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …
Persistent link: https://www.econbiz.de/10010484462
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Lecture notes in incomplete markets
Duffie, Darrell (contributor) - 1988
Persistent link: https://www.econbiz.de/10000772948
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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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Informational asymmetries in laboratory asset markets with state-dependent fundamentals : conference paper
Keser, Claudia; Markstädter, Andreas - 2014
We investigate the formation of market prices in a new experimental setting involving multi-period asset markets with state-dependent fundamentals. We are particularly interested in two informational aspects: (1) the role of traders who are informed about the true state and (2) the provision of...
Persistent link: https://www.econbiz.de/10010483895