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Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Barras, Laurent - 2015

financial standing of intermediaries. These results shed new light on the information content of the VRP, suggest the presence …

Persistent link: https://www.econbiz.de/10013013799

Competition among high-frequency traders, and market quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012016546

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011647972

Volatility Spillovers and Capital Buffers Among the G-Sibs

McNelis, Paul D. - 2020

We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure …

Persistent link: https://www.econbiz.de/10012836874

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior …

Persistent link: https://www.econbiz.de/10013448706

The certification role of the EU-wide stress testing exercises in the stock market : what can we learn from the stress tests (2014-2021)?

Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022

stress tests provides new information to markets. Banks performing poorly in stress tests experience, on average, a reduction …

Persistent link: https://www.econbiz.de/10013342212

Consumption volatility risk and the inversion of the yield curve

Grasso, Adriana; Natoli, Filippo - 2018

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her risk perception which shape saving propensities over...

Persistent link: https://www.econbiz.de/10011816113

Re-use of collateral : leverage, volatility, and welfare

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2018

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an inﬁnite-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be used to back more transactions. Re-use thus...

Persistent link: https://www.econbiz.de/10011959258

What do asset prices have to say about risk appetite and uncertainty?

Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover …

Persistent link: https://www.econbiz.de/10003832589

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10008901645