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Model Uncertainty and Endogenous Volatility

Branch, Wiliam; Evans, George W. - Department of Economics, University of Oregon - 2005

This paper identifies two channels through which the economy can generate endogenous inflation and output volatility … and endogenous volatility. …

Persistent link: https://www.econbiz.de/10005464125

Volatilidad de los flujos de capital hacia los países en desarrollo: evidencia para América Latina, 1970-2002

Monterroso, Remberto Rhenals; García, Alejandro Torres - In: Lecturas de Economía (2007) 67, pp. 9-42

1970 and 2002, their volatility and effects on the Latin American macroeconomic performance. Volatility is measured by … means of the variation coefficient, which is calculated in two forms. The results show that the volatility of capital …

Persistent link: https://www.econbiz.de/10005464604

Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market

Alverola, Ricardo - In: Lecturas de Economía (2007) 66, pp. 251-276

Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …

Persistent link: https://www.econbiz.de/10005464641

Investment, Debt and Risk Management in a Context of Uncertain Returns to Investment.

Spanò, Marcello - Department of Economics and Related Studies, University …

In a context of uncertain returns to investment, a firm may face increasing costs of borrowing and uncertain value of its internal finance. Froot, Scharfstein, and Stein (1993) develop a framework where the firm can hedge against the fluctuations of its cash flow, in order to better coordinate...

Persistent link: https://www.econbiz.de/10005523981

Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects

Karali, Berna; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2008

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily … time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We … also find an inverse relationship between inventory levels and lumber futures volatility. …

Persistent link: https://www.econbiz.de/10005525099

MEASURING MARKET RISK OF THE CATTLE FEEDING MARGIN: AN APPLICATION OF VALUE-AT-RISK ANALYSIS

Manfredo, Mark R.; Leuthold, Raymond M. - Agricultural and Applied Economics Association - AAEA - 1999

VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall...

Persistent link: https://www.econbiz.de/10005525943

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - European Central Bank - 2001

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …

Persistent link: https://www.econbiz.de/10005530814

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - European Central Bank - 2003

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15 …

Persistent link: https://www.econbiz.de/10005530978

Growth and Volatility

Imbs, Jean - 2006

Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or … not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates … identify the detrimental e¤ects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a …

Persistent link: https://www.econbiz.de/10005534178

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Jondeau, Eric - 2008

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

Persistent link: https://www.econbiz.de/10005534206