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Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

Persistent link: https://www.econbiz.de/10005504611

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

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

Investment, Debt and Risk Management in a Context of Uncertain Returns to Investment.

Spanò, Marcello - Department of Economics and Related Studies, University …

In a context of uncertain returns to investment, a firm may face increasing costs of borrowing and uncertain value of its internal finance. Froot, Scharfstein, and Stein (1993) develop a framework where the firm can hedge against the fluctuations of its cash flow, in order to better coordinate...

Persistent link: https://www.econbiz.de/10005523981

Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Karali, Berna; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2008

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily … time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We … also find an inverse relationship between inventory levels and lumber futures volatility. …

Persistent link: https://www.econbiz.de/10005525099