Narrow search
Showing 1 - 10 of 38
Cover Image
Realized beta: Persistence and predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led …
Persistent link: https://www.econbiz.de/10010986490
Cover Image
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Center for Financial Studies - 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …
Persistent link: https://www.econbiz.de/10010958718
Cover Image
Realized Beta: Persistence and Predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led …
Persistent link: https://www.econbiz.de/10005022455
Cover Image
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Center for Financial Studies - 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …
Persistent link: https://www.econbiz.de/10005120777
Cover Image
VaR-implied tail-correlation matrices
Mittnik, Stefan - Center for Financial Studies - 2013
Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...
Persistent link: https://www.econbiz.de/10010958605
Cover Image
Return and volatility spillovers to industry returns: Does EMU play a role?
Kaltenhäuser, Bernd - Center for Financial Studies - 2002
aggregate shocks. Volatility spillovers proved to be small and volatile. …
Persistent link: https://www.econbiz.de/10010986358
Cover Image
Finance and welfare states in globalizing markets
Bertola, Giuseppe - Center for Financial Studies - 2007
It is theoretically clear and may be verified empirically that efficient financial markets can make it less necessary for policy to try and offset the welfare effects of labour income risk and unequal consumption dynamics. The literature has also pointed out that, since international competition...
Persistent link: https://www.econbiz.de/10010986463
Cover Image
Investment in financial literacy and saving decisions
Jappelli, Tullio; Padula, Mario - Center for Financial Studies - 2011
We present an intertemporal consumption model of consumer investment in financial literacy. Consumers benefit from such investment because their stock of financial literacy allows them to increase the returns on their wealth. Since literacy depreciates over time and has a cost in terms of...
Persistent link: https://www.econbiz.de/10010958490
Cover Image
Modeling bond yields in finance and macroeconomics
Diebold, Francis X.; Piazzesi, Monica; Rudebusch, Glenn D. - Center for Financial Studies - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10010958495
Cover Image
Measuring financial asset return and volatilty spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2008
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …
Persistent link: https://www.econbiz.de/10010958505