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Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis

Koulakiotis, Athanasios; Babalos, Vasillios; … - In: Economics Letters 127 (2015) C, pp. 58-60

reveal that trading volume appears to capture a significant part of volatility asymmetric behavior. In general, our results …

Persistent link: https://www.econbiz.de/10011189514

An empirical model of fractionally cointegrated daily high and low stock market prices

Baruník, Jozef; Dvořáková, Sylvie - In: Economic Modelling 45 (2015) C, pp. 193-206

prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated … interest because they provide valuable information about range-based volatility, which is considered a highly efficient and … robust estimator of volatility. We provide a comparison of the Czech PX index with other world market indices: the German …

Persistent link: https://www.econbiz.de/10011190214

Modelling stock return volatility dynamics in selected African markets

King, Daniel; Botha, Ferdi - In: Economic Modelling 45 (2015) C, pp. 50-73

Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional …

Persistent link: https://www.econbiz.de/10011190219

The effects of quantitative easing on the volatility of the gilt-edged market

Steeley, James M.; Matyushkin, Alexander - In: International Review of Financial Analysis 37 (2015) C, pp. 113-128

We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the … increase in volatility that had been experienced by gilts since the start of the financial crisis. The volatility of longer … term bonds reduced more quickly than the volatility of short to medium term bonds. The reversion of the volatility of …

Persistent link: https://www.econbiz.de/10011191076

Modelo de intervención cambiaria para el caso venezolano

Sánchez, Pedauga; Enrique, Luis - Volkswirtschaftliche Fakultät, … - 2003

market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in …

Persistent link: https://www.econbiz.de/10011191497

Disentangling crashes from tail events

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2010

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash...

Persistent link: https://www.econbiz.de/10011193769

Has the Fed improved U.S. economic performance?

Hogan, Thomas L. - In: Journal of Macroeconomics 43 (2015) C, pp. 257-266

This paper finds that U.S. economic performance has not generally improved under the Federal Reserve, with the possible exception of the Great Moderation. We analyze the Fed and pre-Fed periods in terms of the rates and volatilities of inflation and real GDP growth. Comparing the pre-Fed periods...

Persistent link: https://www.econbiz.de/10011194170

Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014

volatility control strategies and volatility target approaches to investment have gained a lot of interest as strategies able to … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and … target volatility approach, into a multiperiod portfolio optimization model, through the introduction of a local volatility …

Persistent link: https://www.econbiz.de/10011194187

Macroeconomic Volatility and Physical Capital Accumulation in Sub-Saharan Africa

Awounang, Arthur Chopkeng; Foning, Maxime Niee - In: International Journal of Economic Sciences 2014 (2014) 2, pp. 01-19

The aim of this work is to study the influence of macroeconomic volatility on physical capital accumulation in Sub … measures of volatility are obtained after estimating a GARCH (Generalized autoregressive conditional heteroskedasticity) model … stock per capita of 0.0002 percentage point. And (3), there is no significant effect from the volatility of terms of trade …

Persistent link: https://www.econbiz.de/10011195085

Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise

Bašta, Milan - In: Acta Oeconomica Pragensia 2012 (2012) 2, pp. 3-20

series of log-Garman-Klass estimates of log volatility of financial markets. The estimator of Percival and Walden (2002) is … estimator may be useful for the estimation of the long memory in volatility. …

Persistent link: https://www.econbiz.de/10011195182