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The effects of quantitative easing on the volatility of the gilt-edged market

Steeley, James M.; Matyushkin, Alexander - In: International Review of Financial Analysis 37 (2015) C, pp. 113-128

We model the effects of quantitative easing on the volatility of returns to individual gilts, examining both the … increase in volatility that had been experienced by gilts since the start of the financial crisis. The volatility of longer … term bonds reduced more quickly than the volatility of short to medium term bonds. The reversion of the volatility of …

Persistent link: https://www.econbiz.de/10011191076

Modelo de intervención cambiaria para el caso venezolano

Sánchez, Pedauga; Enrique, Luis - Volkswirtschaftliche Fakultät, … - 2003

market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in …

Persistent link: https://www.econbiz.de/10011191497

Disentangling crashes from tail events

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2010

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash...

Persistent link: https://www.econbiz.de/10011193769

Has the Fed improved U.S. economic performance?

Hogan, Thomas L. - In: Journal of Macroeconomics 43 (2015) C, pp. 257-266

This paper finds that U.S. economic performance has not generally improved under the Federal Reserve, with the possible exception of the Great Moderation. We analyze the Fed and pre-Fed periods in terms of the rates and volatilities of inflation and real GDP growth. Comparing the pre-Fed periods...

Persistent link: https://www.econbiz.de/10011194170

Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014

volatility control strategies and volatility target approaches to investment have gained a lot of interest as strategies able to … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and … target volatility approach, into a multiperiod portfolio optimization model, through the introduction of a local volatility …

Persistent link: https://www.econbiz.de/10011194187

Macroeconomic Volatility and Physical Capital Accumulation in Sub-Saharan Africa

Awounang, Arthur Chopkeng; Foning, Maxime Niee - In: International Journal of Economic Sciences 2014 (2014) 2, pp. 01-19

The aim of this work is to study the influence of macroeconomic volatility on physical capital accumulation in Sub … measures of volatility are obtained after estimating a GARCH (Generalized autoregressive conditional heteroskedasticity) model … stock per capita of 0.0002 percentage point. And (3), there is no significant effect from the volatility of terms of trade …

Persistent link: https://www.econbiz.de/10011195085

Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise

Bašta, Milan - In: Acta Oeconomica Pragensia 2012 (2012) 2, pp. 3-20

series of log-Garman-Klass estimates of log volatility of financial markets. The estimator of Percival and Walden (2002) is … estimator may be useful for the estimation of the long memory in volatility. …

Persistent link: https://www.econbiz.de/10011195182

Volatility Asset Pricing Model as an Alternative Approach?

Kuklik, Robert G.; VACEK, Vladislav - In: European Financial and Accounting Journal 2013 (2013) 1

inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

Persistent link: https://www.econbiz.de/10011195297

A Multivariate Test Against Spurious Long Memory

Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2015

This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...

Persistent link: https://www.econbiz.de/10011196464

МАКРОЭКОНОМИЧЕСКИЕ ФАКТОРЫ ВЛИЯНИЯ НА ДИНАМИКУ РОССИЙСКОГО РЫНКА АКЦИЙ И ИНСТРУМЕНТЫ ГОСУДАРСТВЕННОГО РЕГУЛИРОВАНИЯ...

ЕВЛАХОВА Ю. С. - In: Проблемы современной экономики (2013) 3, pp. 50-55

В статье рассматриваются вопросы классификации макроэкономических факторов влияния на российский рынок акций, приводятся исследования по оценке значимости...

Persistent link: https://www.econbiz.de/10011238719