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Volatility in Equilibrium : Asymmetries and Dynamic Dependencies

Bollerslev, Tim; Tauchen, George; Sizova, Natalia - 2010

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Persistent link: https://www.econbiz.de/10014190565

A method for detection of abrupt changes in the financial market combining wavelet decomposition and correlation graphs

Caetano, Marco Antonio Leonel; Yoneyama, Takashi - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4877-4882

The objective of this work is to propose a new methodology to detect the imminence of abrupt changes in the stock market by combining a numerical indicator based on the wavelet decomposition technique with a measure of the interdependency of the markets using graph theory. While the indicator...

Persistent link: https://www.econbiz.de/10010588946

Contemporary trends and challenges in finance : proceedings from the 2nd Wroclaw International Conference in Finance

Jajuga, Krzysztof (ed.); Orłowski, Lucjan T. (ed.); … - Wrocław International Conference in Finance <2., 2016, … - 2017

Persistent link: https://www.econbiz.de/10011822847

Modeling and forecasting the volatility of returns in the infrastructure sector in emerging markets

Magweva, Rabson; Sibanda, Mabutho - In: Eurasian journal of business and economics : EJBE 13 (2020) 25, pp. 37-52

Persistent link: https://www.econbiz.de/10012225640

Is there Chaos on the German Labor Market? / Ist der deutsche Arbeitsmarkt chaotisch?

Neugart, Michael - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 658-673

core to German labor market dynamics. Chaos does not occur. …Summary Evidence on the role of chaotic and nonlinear dynamics on labor markets is mixed. It is unclear whether … to the residuals of the filtered time series to test for chaotic dynamics. There seems to be a nonlinear deterministic …

Persistent link: https://www.econbiz.de/10014608718

Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach

Florian Heitger - 2010

analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of … driven by the market over time. The resulting dynamics of asset price and agents’ wealth is analyzed within a chartist … financial markets and lead to the emergence of complicated dynamics of growing asset price paths. …

Persistent link: https://www.econbiz.de/10009428980

Does Macroeconomics Need Microeconomic Foundations?

Da Silva, Sergio - 2009

The author argues that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical...

Persistent link: https://www.econbiz.de/10010298584

Does Macroeconomics Need Microeconomic Foundations?

Da Silva, Sergio - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-23, pp. 1-11

I argue that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical physics.

Persistent link: https://www.econbiz.de/10010298641

A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - In: Economics: The Open-Access, Open-Assessment E-Journal 5 (2011) 2011-20, pp. 1-20

The authors propose a new method for estimating the power-law exponents of firm size variables. Their focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. On the one hand, as is well known a firm size variable follows a power-law...

Persistent link: https://www.econbiz.de/10010307564

The role of temperature in economic exchange : an empirical analysis

Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89

Persistent link: https://www.econbiz.de/10011373218