Search Results - subject:"Volatility Dynamics"

What Drives Short Rate Dynamics? A Functional Gradient Descent Approach

Audrino, Francesco - In: Computational Economics 39 (2012) 3, pp. 315-335

Persistent link: https://www.econbiz.de/10010866841

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Kaeck, Andreas; Alexander, Carol - In: Journal of Banking & Finance 36 (2012) 11, pp. 3110-3121

We apply Markov chain Monte Carlo methods to time series data on S&P 500 index returns, and to its option prices via a term structure of VIX indices, to estimate 18 different affine and non-affine stochastic volatility models with one or two variance factors, and where jumps are allowed in both...

Persistent link: https://www.econbiz.de/10010580929

Specification Testing for Multivariate Time Series Volatility Models

Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004

,1) distribution, and can detect a wide range of misspecifications for volatility dynamics. Distinct from the existing tests for … kurtosis). Our tests check a large number of lags and are therefore expected to be powerful against neglected volatility … dynamics that occurs at higher order lags or display long memory properties. Despite using a large number of lags, our tests do …

Persistent link: https://www.econbiz.de/10005342373

How wacky is the DAX? The changing structure of German stock market volatility

Werner, Thomas; Stapf, Jelena - 2003

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That...

Persistent link: https://www.econbiz.de/10010295810

How wacky is the DAX? The changing structure of German stock market volatility

Werner, Thomas; Stapf, Jelena - Deutsche Bundesbank - 2003

Persistent link: https://www.econbiz.de/10005083234

How wacky is the DAX? : the changing structure of German stock market volatility

Stapf, Jelena; Werner, Thomas - 2003

Persistent link: https://www.econbiz.de/10011432267

Risk, Uncertainty and Monetary Policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - C.E.P.R. Discussion Papers - 2010

We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary...

Persistent link: https://www.econbiz.de/10008784723

Aggregate Idiosyncratic Volatility

Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2010

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process...

Persistent link: https://www.econbiz.de/10008784734

Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality

McMillan, David G.; Ruiz, Isabel - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 64-74

In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach proposed by Engle and Kozicki (1993). Our results suggest...

Persistent link: https://www.econbiz.de/10008755239

Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

Mu, Guo-Hua; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5211-5218

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than...

Persistent link: https://www.econbiz.de/10010871864