Showing 21 - 30 of 793,702
We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10003979998
The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …
Persistent link: https://www.econbiz.de/10009314521
realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …
Persistent link: https://www.econbiz.de/10009734341
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …
Persistent link: https://www.econbiz.de/10011456336
successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …
Persistent link: https://www.econbiz.de/10011490485
by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845
theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …
Persistent link: https://www.econbiz.de/10013128856
measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous …
Persistent link: https://www.econbiz.de/10013133961
We study the implications of the quality of information about the business cycle for the pricing of defensive and cyclical stocks in a general equilibrium framework. We rely on a two-tree Lucas-style endowment economy in which the business cycle is modeled as an unobservable mean reverting...
Persistent link: https://www.econbiz.de/10013090810