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Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

The Effect of Parallel OTC-DVP Bond Market Introduction on Yield Curve Volatility

Grum, Andraž - 2017

market introduction in Slovenia on the term structure estimation and on the volatility of zero coupon yields and forward … the information content of bond prices for term structure estimation purpose. The volatility of spot and forward rates for …

Persistent link: https://www.econbiz.de/10012974350

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

The Leverage Effect of Bank Disclosures

Koenig, Philipp; Laux, Christian; Pothier, David - 2021

The general view underlying bank regulation is that bank disclosures provide market discipline and reduce banks’ risk-taking incentives. We show that bank disclosures can increase bank leverage and bank risk. The reason stems from the interaction between insured and uninsured debt. Bank...

Persistent link: https://www.econbiz.de/10013212520

The Leverage Effect of Bank Disclosures

Koenig, Philipp; Laux, Christian; Pothier, David - 2021

The general view underlying bank regulation is that bank disclosures providemarket discipline and reduce banks' risk-taking incentives. We show that bankdisclosures can increase bank leverage and bank risk. The reason stems from theinteraction between insured and uninsured debt. Bank disclosures...

Persistent link: https://www.econbiz.de/10013324579

Determinants of Bank-Level Deposit Volatility : Evidence from the German Banking System

Streit, Daniel - 2016

This study reviews the existing literature on the determinants of bank-level deposit volatility and is the first to … nature of deposit volatility and the relevance of its determinants vary by banking pillar. The identified differences between …

Persistent link: https://www.econbiz.de/10012980154

Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets

Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017

The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...

Persistent link: https://www.econbiz.de/10011756971

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Momentum and the Cross-Section of Stock Volatility

Fan, Minyou - 2020

"momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of … individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with … low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced …

Persistent link: https://www.econbiz.de/10012841097

The Joint Cross-Sectional Variation of Equity Returns and Volatilities

Gonzalez-Urteaga, Ana - 2018

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia … positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is … volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of …

Persistent link: https://www.econbiz.de/10012935590