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volatility for a given distribution of the payoff states. We show that the maximal aggregate volatility is attained in a noise …
Persistent link: https://www.econbiz.de/10010895692
Friedman’s hypothesis regarding the relationship between inflation, inflation uncertainty and output growth states that full employment policy objective of the government tends to increase the rate of inflation which increases the uncertainty about the future course of inflation. Increase in...
Persistent link: https://www.econbiz.de/10010961025
data updated to December 2012. We also construct two types of reweightedindicators: one type using volatility measures and …, we recommend monitoring one of the volatility-weighted indicators and one of the persistence-weighted indicators.  …
Persistent link: https://www.econbiz.de/10010961185
We examine the dynamic relationship between self-tender returns, volatility and order imbalances. Since market makers … care more about volatilities than inventory risk, they tend to lower the bid-ask spread to mitigate volatility. This result …. A time-varying GARCH model also confirms the results that an order imbalance does not affect volatility during self …
Persistent link: https://www.econbiz.de/10010961450
Persistent link: https://www.econbiz.de/10010961592
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …
Persistent link: https://www.econbiz.de/10009371352
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10009371457
daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market …
Persistent link: https://www.econbiz.de/10011207864
-way volatility spillover effects: a positive volatility spillover effect from stock returns to abnormal message posting volume, and a … negative volatility spillover effect from abnormal message posting volume to stock returns. The information exchange and …
Persistent link: https://www.econbiz.de/10010569695
reported including research on the herd instinct in market volatility, the private information paradox in competitive strategy …
Persistent link: https://www.econbiz.de/10014882463