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Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model’s ability fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare...

Persistent link: https://www.econbiz.de/10005440037

The Volatility Effect: Lower Risk without Lower Return

Blitz, D.C.; Vliet, P. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this … volatility effect within the US, European and Japanese markets in isolation. Furthermore, we find that the volatility effect …

Persistent link: https://www.econbiz.de/10005450948

The Nature of Power Spikes: a regime-switch approach

Jong, C.M. de - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

Due to its non-storable nature, electricity is a commodity with probably the most volatile spot prices, exemplified by occasional spikes. Appropriate pricing, portfolio, and risk management models have to incorporate these characteristics, and the spikes in particular. We investigate the nature...

Persistent link: https://www.econbiz.de/10005450987

A Tale of Markets and Jungles in a Simple Model of Growth

Gall, Thomas; Masella, Paolo - 2007

Institutions determine prospects for economic growth and development. This paper collapses potentially complex interactions of different institutions into a simple condition on the primitives that determines whether a society supports spot markets or not. In a dynamic model of an agrarian...

Persistent link: https://www.econbiz.de/10005455482

The Cyclical Dynamics and Volatility of Australian Output and Employment

Dixon, Robert; Shepherd, David - Department of Economics, Faculty of Business and Economics - 2006

In this paper we examine the volatility of aggregate output and employment in Australia with the aid of a frequency … to output volatility in Australia which holds that there was a once and for all sustained reduction in output volatility … in or around 1984. We do not find any convincing evidence for a sustained reduction in the cyclical volatility of the GDP …

Persistent link: https://www.econbiz.de/10005458636

Mixture Processes for Financial Intradaily Durations

Luca, Giovanni De; Gallo, Giampiero - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1223-1223

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price …

Persistent link: https://www.econbiz.de/10005459052

Dynamics of the Cross-Country Growth/Volatility Relationship

Edwards, Jeffrey - In: Global Economy Journal 7 (2007) 2, pp. 4-4

This study evaluates structural changes over time in the cross-country relationship between growth and volatility …, this study adds to the current literature in two significant ways. The first is that to assume the cross-country growth/volatility …. Specifically, volatility negatively impacted growth for developed nations around this time, while it positively impacted growth for …

Persistent link: https://www.econbiz.de/10005459183

Actual and Warranted Relations Between Asset Prices

Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance between the ex-post values they respectively forecast:...

Persistent link: https://www.econbiz.de/10005463944

Model Uncertainty and Endogenous Volatility

Branch, Wiliam; Evans, George W. - Department of Economics, University of Oregon - 2005

This paper identifies two channels through which the economy can generate endogenous inflation and output volatility … and endogenous volatility. …

Persistent link: https://www.econbiz.de/10005464125

Volatilidad de los flujos de capital hacia los países en desarrollo: evidencia para América Latina, 1970-2002

Monterroso, Remberto Rhenals; García, Alejandro Torres - In: Lecturas de Economía (2007) 67, pp. 9-42

1970 and 2002, their volatility and effects on the Latin American macroeconomic performance. Volatility is measured by … means of the variation coefficient, which is calculated in two forms. The results show that the volatility of capital …

Persistent link: https://www.econbiz.de/10005464604