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Forecasting gains of robust realized variance estimators: evidence from European stock markets

Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 34 (2014) 4, pp. 2377-2386

examines the benefits of using RRV estimators instead of the RV estimator, in the context of volatility forecasting. The …

Persistent link: https://www.econbiz.de/10011039042

Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing

Dezső, Cristian L.; Ross, David Gaddis - In: Journal of Financial Economics 106 (2012) 2, pp. 395-410

greater distance to default, and lower equity volatility. …

Persistent link: https://www.econbiz.de/10011039229

How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-Min - In: Energy Economics 42 (2014) C, pp. 343-354

volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil … have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover … (Brent) oil markets. The presence of structural breaks reduces the persistence of volatility. Accounting for OPEC's scheduled …

Persistent link: https://www.econbiz.de/10011039532

On the links between stock and commodity markets' volatility

Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy Economics 37 (2013) C, pp. 16-28

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...

Persistent link: https://www.econbiz.de/10011039549

Volatility transmission and volatility impulse response functions in crude oil markets

Jin, Xiaoye; Xiaowen Lin, Sharon; Tamvakis, Michael - In: Energy Economics 34 (2012) 6, pp. 2125-2134

connections through the analysis of Volatility Impulse Response Functions (VIRF) for two historical shocks, namely the 2008 … conditional volatilities. These results provide useful insights into the volatility transmission mechanism in crude oil markets …

Persistent link: https://www.econbiz.de/10011039618

Financial crisis, REIT short-sell restrictions and event induced volatility

Devaney, Michael - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 219-226

restricted REITs and a sample of fifty REITs not on the list. Rather than mitigate volatility it was determined that fifty of the …

Persistent link: https://www.econbiz.de/10011040170

The impact of US news on the German stock market—An event study analysis

Dimpfl, Thomas - In: The Quarterly Review of Economics and Finance 51 (2011) 4, pp. 389-398

, it is processed rapidly. Volatility is found to be significantly higher on news days. …

Persistent link: https://www.econbiz.de/10011040175

Volatility timing: How best to forecast portfolio exposures

Clements, A.; Silvennoinen, A. - In: Journal of Empirical Finance 24 (2013) C, pp. 108-115

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy …. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …

Persistent link: https://www.econbiz.de/10011042113

Stressing correlations and volatilities — A consistent modeling approach

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of Empirical Finance 21 (2013) C, pp. 174-194

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

Persistent link: https://www.econbiz.de/10011042126

Splitting up Beta’s change

Suarez, Ronny - Volkswirtschaftliche Fakultät, … - 2014

up the annual beta’s change attributed to the volatility market effect, the stock volatility effect, the correlation …

Persistent link: https://www.econbiz.de/10011108617