Similar Search Results

Federal Securities Regulations and Stock Market Returns

Liu, Tung; Santoni, Gary; Stone, Courtenay Cliff - Department of Economics, Ball State University - 2005

This paper examines the impact of federal securities statutes (seven major legislative acts and 535 amendments) on the mean and variance of total real U.S. stock market returns. In contrast to previous work, this study controls for the persistence of the variability of stock returns, employs a...

Persistent link: https://www.econbiz.de/10005557834

Statistical Properties of Forward Libor Rates

Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

Persistent link: https://www.econbiz.de/10005558300

Disturbing Extremal Behavior of Spot Rate Dynamics

Bali, Turan G.; Neftci, Salih N. - Henley Business School, University of Reading - 2002

volatility of extremes. We formally determine the relevance of introducing trend and serial correlation in the mean, and of … incorporating the level and GARCH effects in the volatility of extreme changes in the federal funds rate. The empirical findings … indicate the existence of volatility clustering in the standard deviation of extremes, and a significantly positive …

Persistent link: https://www.econbiz.de/10005558326

Wage restraint and volatility in labor markets

Traca, Daniel - Centre Emile Bernheim, Solvay Brussels School of … - 2005

, it finds evidence of wage restraint, as volatility significantly lowers the share of(production) wages in value added. …

Persistent link: https://www.econbiz.de/10005558857

Approximating equity volatility.

Loulit, Ahmed - Centre Emile Bernheim, Solvay Brussels School of … - 2004

The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

Persistent link: https://www.econbiz.de/10005558915

Sector-Specific Volatility Patterns in Investment

Kredler, Matthias - EconWPA - 2005

This paper addresses the question if there are differences between time patterns in the volatility of investment across … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility … determining investment volatility than the macroeconomic environment. …

Persistent link: https://www.econbiz.de/10005561184

Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models

Frimpong, Joseph Magnus; Oteng-Abayie, Eric Fosu - Volkswirtschaftliche Fakultät, … - 2006

This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW … the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated … nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and …

Persistent link: https://www.econbiz.de/10005623234

The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan

Olimov, Ulugbek; Sirajiddinov, Nishanbay - Volkswirtschaftliche Fakultät, … - 2008

period of 1994q3–2005q2. The results suggest thatthe real exchange rate volatility and misalignment have depressing effects … volatility proving that the policy-induced changes in exchange rate has a stabilizing effect on trade flows. The implied … elasticity for the most significant real exchange rate volatility coefficient is -0.20. Using a two-step Engle-Granger technique …

Persistent link: https://www.econbiz.de/10005623237

Origins of scaling in FX markets

Mercik, Szymon; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2002

Typical data sets employed by economists and financial analysts do not exceed a few hundred or thousand observations per series. However, in the last decade data sets containing tick-by-tick observations have become available. The studies of these data have turned up new and interesting facts...

Persistent link: https://www.econbiz.de/10005623359

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2008

the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad … news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases … volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad …

Persistent link: https://www.econbiz.de/10005623524