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stochastic volatility model, finding that the approach is efficient and effective. Applications to continuous time finance models …
Persistent link: https://www.econbiz.de/10010574072
This paper analyzes the risk dynamics surrounding convertible bond offerings (CBOs) and Seasoned Equity Offerings (SEOs). As convertible bonds are commonly believed to be very effective at mitigating adverse selection or overinvestment problems we would expect differing risk and return patterns...
Persistent link: https://www.econbiz.de/10010574261
Existing models of offshoring are not equipped to explain how global production sharing affects the volatility of … the degree of movement of this margin in the data is sufficient to explain relative employment volatility in Mexico and …
Persistent link: https://www.econbiz.de/10010574406
, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the … of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis …
Persistent link: https://www.econbiz.de/10010574579
financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …
Persistent link: https://www.econbiz.de/10010574828
increasing volatility and deteriorating funding liquidity. In particular, volatility plays a dominant role in the information … transmission, which absorbs the liquidity effect when both volatility and liquidity are included as exogenous factors in a vector …
Persistent link: https://www.econbiz.de/10010574958
This paper analyzes two indexes in order to capture the volatility inherent in El Ninos Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …
Persistent link: https://www.econbiz.de/10010575343
This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …
Persistent link: https://www.econbiz.de/10010575432
In this paper we build on recent work by Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) and investigate the relationship between oil price uncertainty and the level of economic activity, using quarterly Canadian data over the period from 1974:1 to 2010:1. In doing...
Persistent link: https://www.econbiz.de/10010576112
This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns …
Persistent link: https://www.econbiz.de/10010576579