Similar Search Results

Pukthuanthong, Kuntara; Roll, Richard - European Central Bank - 2012

Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation of a … Gaussian process. We find that jumps are prevalent in most countries. This has been little investigation of whether the jumps … diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …

Persistent link: https://www.econbiz.de/10010686814

Market risk SREP methodology

European Central Bank - 2024

Persistent link: https://www.econbiz.de/10015322343

Market risk SREP methodology : market risk in SREP

European Central Bank - 2023

Persistent link: https://www.econbiz.de/10015278797

Market risk SREP methodology : market risk in SREP

European Central Bank - 2023

Persistent link: https://www.econbiz.de/10015280272

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano (contributor); … - European Central Bank - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015321745

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - European Central Bank - 2014

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Persistent link: https://www.econbiz.de/10011067211

Comovements in volatility in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2006

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....

Persistent link: https://www.econbiz.de/10005222291

Forecasting the world economy in the short-term

Jakaitiene, Audrone; Dées, Stephane - European Central Bank - 2009

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, rst, at ranking various forecasting methods in terms...

Persistent link: https://www.econbiz.de/10005866572

A high frequency assessment of the ECB securities markets programme : N° 1642 / February 2014

Ghysels, Eric (contributor); Idier, Julien (contributor); … - European Central Bank - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: if Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10015302475

Characterising the financial cycle : a multivariate and time-varying approach; No 1846 / September 2015

Schüler, Yves S. (contributor); … - European Central Bank - 2015

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

Persistent link: https://www.econbiz.de/10015297765