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Effect of Intraday Information Flow on the Emerging European Stock Markets

Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie 2010 (2010) 4, pp. 435-457

monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it …

Persistent link: https://www.econbiz.de/10008564638

Medium Term Business Cycles in Developing Countries

Comin, Diego A.; Loayza, Norman; Pasha, Farooq; Serven, Luis - Harvard Business School, Harvard University - 2009

We build a two country asymmetric DSGE model with two features: (i) endogenous and slow diffusion of technologies from the developed to the developing country, and (ii) adjustment costs to investment flows. We calibrate the model to match the Mexico-U.S. trade and FDI flows. The model is able to...

Persistent link: https://www.econbiz.de/10008564678

From Riches to Rags, and Back? Explaining the Growth Trajectory of Argentina since the 1890s

Campos, Nauro F.; Karanasos, Menelaos G.; Tan, Bin - Verein für Socialpolitik, Ausschuss für … - 2009

growth and growth volatility. Our results suggest that financial development, trade openness and political instability are …

Persistent link: https://www.econbiz.de/10008564983

Volatility Indexes seem to point to the Past

Schroeder, Gerhard - Volkswirtschaftliche Fakultät, … - 2009

volatility of the past nine weeks with that of the following nine weeks, estimation error ranges from four to over ten percentage …

Persistent link: https://www.econbiz.de/10008565127

Does the Great Recession imply the end of the Great Moderation? International evidence

CHARLES, Amelie; Darné, Olivier; Ferrara, Laurent - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great … countries. This Great Recession period was characterized by a sharp apparent increase in output volatility. In this paper we … evaluate whether this sudden event is likely to be temporary. Whether or not this new volatility regime is likely to persist …

Persistent link: https://www.econbiz.de/10010896306

The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility

Havrylchyk, Olena; Capelle-Blancard, Gunther - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

liquidity and volatility. To identify causality, we rely on the unique design of this tax that is imposed only on large French … based measures of liquidity, such as price impact, and no significant effect on volatility. The results are robust if we …

Persistent link: https://www.econbiz.de/10010896338

VOLATILITY, INFORMATION AND STOCK MARKET CRASHES

Antonakakis, Nikolaos; Scharler, Johann - In: Journal of Advanced Studies in Finance III (2012) 1, pp. 49-67

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

Persistent link: https://www.econbiz.de/10010898007

Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

Giles, David E.; Li, Yanan - Department of Economics, University of Victoria - 2013

volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and … volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the … volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial …

Persistent link: https://www.econbiz.de/10010898270

Systematic and multifactor risk models revisited

Fliess, Michel; Join, Cédric - HAL - 2013

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

Persistent link: https://www.econbiz.de/10010898688

To what extent do exchange rates and their volatility affect trade ?

Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

Persistent link: https://www.econbiz.de/10010899210