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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - Tinbergen Instituut - 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …
Persistent link: https://www.econbiz.de/10011255523
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - Tinbergen Instituut - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...
Persistent link: https://www.econbiz.de/10011272574
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Asymmetric Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011272575
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Volatility Spillovers from Australia's Major Trading Partners across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014
This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...
Persistent link: https://www.econbiz.de/10011272594
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Asset allocation and risk taking under different interest rate regimes
Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023
We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...
Persistent link: https://www.econbiz.de/10014278642
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A sensitivities based CoVaR approach to asset commonality and its application to SSM banks
Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022
asset commonality in the spirit of CoVaR as defined by Adrian and Brunnermeier (2016). Based on granular information, we …
Persistent link: https://www.econbiz.de/10013373564
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different...
Persistent link: https://www.econbiz.de/10011255488
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Why is Price Discovery in Credit Default Swap Markets News-Specific?
Marsh, Ian W.; Wagner, Wolf - Tinbergen Instituut - 2012
We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to <I>common</I> (and not firm-specific) news and arises predominantly in response to <I>positive</I> (instead of...</i></i>
Persistent link: https://www.econbiz.de/10011255704