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ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES

Ioan, Trenca; Simona, Mutu; Nicolae, Petria - In: Annals of Faculty of Economics 1 (2012) 2, pp. 614-619

The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than...

Persistent link: https://www.econbiz.de/10010617396

Econometric analysis of volatile art markets

Bocart, Fabian Y.R.P.; Hafner, Christian M. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3091-3104

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …

Persistent link: https://www.econbiz.de/10010617650

Government Size and Business Cycle Volatility; How Important Are Credit Constraints?

Leibrecht, Markus; Scharler, Johann - Institut für Finanzwissenschaft, Fakultät für … - 2012

In this paper we analyze how the availability of credit influences the relationship between government size as a proxy for fiscal stabilization policy and the amplitude of business cycle fluctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...

Persistent link: https://www.econbiz.de/10010617814

SUSTAINABILITY OF THE FINANCIAL TRANSACTION TAX: DECISION AND UNCERTAINTY

Boldea, Bogdan Ion; Neacsu, Emilian Lucian - In: Annals of University of Craiova - Economic Sciences Series 3 (2012) 40, pp. 187-194

and systemic risk creation. The empirical evidence does not suggest that the introduction of an FTT reduces volatility or …

Persistent link: https://www.econbiz.de/10010627870

Volatile capital flows: Interactions between de jure and de facto financial liberalization

Neumann, Rebecca; Penl, Ron - In: Economics Bulletin 6 (2008) 3, pp. 1-10

Utilizing a panel data set for 13 developed economies, this paper examines the volatility of capital flows following … capital volatility is affected by the interaction between de jure financial liberalization (an index of liberalization) and de … found to increase capital volatility as expected. At lower volumes of capital, financial liberalization reduces capital …

Persistent link: https://www.econbiz.de/10010629349

The Relative Volatility of Commodity Prices: A re-appraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - Oxford Centre for the Analysis of Resource-Rich … - 2012

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10010630851

Does implied volatility contain information about future volatility? Evidence from the Petrobras options market

Vicente, José Valentim Machado; Guedes, Tiago de Sousa - In: Brazilian Business Review 7 (2010) 1, pp. 42-58

overlapping monthly data of in-the-money, at-the-money and out-of-the-money calls indicates that the implied volatility of out …-of-the-money options contains more information about future volatility than does historical volatility. On the other hand, the implied … volatility of the in-the-money and at-the-money calls has poor explanatory power about future volatility. …

Persistent link: https://www.econbiz.de/10010631373

A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models

Xu, Bing; Ouenniche, Jamal - In: Energy Economics 34 (2012) 2, pp. 576-583

Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas … large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative …

Persistent link: https://www.econbiz.de/10010571716

Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange

Sabbaghi, Omid; Sabbaghi, Navid - In: The Quarterly Review of Economics and Finance 51 (2011) 4, pp. 399-407

We provide the first econometric investigation of volatility dynamics for the Carbon Financial Instrument (CFI) traded … GARCH model testing and estimation, concluding with some implications for volatility-based Value-at-Risk forecasts. Our …

Persistent link: https://www.econbiz.de/10010571833

Endogenous growth, monetary shocks and nominal rigidities

Annicchiarico, Barbara; Pelloni, Alessandra; Rossi, Lorenza - In: Economics Letters 113 (2011) 2, pp. 103-107

nominal rigidities, the shock persistence and the type of Taylor rule affect the relationship between monetary volatility and …

Persistent link: https://www.econbiz.de/10010572164