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A Relationship Between Regression Tests and Volatility Tests of Market ncy

Frankel, Jeffrey A. - 1983

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency …"beat the market" using a linear combination of known variables, then the regression tests are at least as powerful as the … turns out to be equivalent to the analogous regression test in terms of asymptotic power. In other applications …

Persistent link: https://www.econbiz.de/10012477997

A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data

Zhang, Lan - 2003

It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that...

Persistent link: https://www.econbiz.de/10012468583

Parametric and Nonparametric Volatility Measurement

Andersen, Torben G. - 2002

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts,...

Persistent link: https://www.econbiz.de/10012469613

Stock Market Forecastability and Volatility : A Statistical Appraisal

Mankiw, N. Gregory - 1989

This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. Although the null hypothesis of strict market efficiency is rejected, the evidence against the hypothesis is not...

Persistent link: https://www.econbiz.de/10012475889

The Long-Run Volatility Puzzle of the Real Exchange Rate

Hausmann, Ricardo - 2004

This paper documents large cross-country differences in the long run volatility of the real exchange rate. In particular, it shows that the real exchange rate of developing countries is approximately three times more volatile than the real exchange rate in industrial countries. The paper tests...

Persistent link: https://www.econbiz.de/10012467939

Volatility, Investment and Disappointment Aversion

Aizenman, Joshua - 1995

This study uncovers a statistically significant negative correlation between volatility and private investment over the 1970-93 period in a set of almost fifty developing countries and provides a possible interpretation of this result by using the disappointment- aversion expected utility...

Persistent link: https://www.econbiz.de/10012473481

Terms of Trade Shocks and Fiscal Cycles

Kaminsky, Graciela L. - 2010

The latest boom in commodity prices fueled concerns about fiscal policies in commodity-exporting countries, with many claiming that it triggered loose fiscal policy and left no funds for a rainy day. This paper examines the links between fiscal policy and terms-of-trade fluctuations using a...

Persistent link: https://www.econbiz.de/10012462872

Aid Volatility and Poverty Traps

Agénor, Pierre-Richard - 2007

This paper studies the impact of aid volatility in a two-period model where production may occur with either a traditional or a modern technology. Public spending is productive and "time to build" requires expenditure in both periods for the modern technology to be used. The possibility of a...

Persistent link: https://www.econbiz.de/10012465250

Fixed versus Flexible : Lessons from EMS Order Flow

Killeen, William P. - 2001

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two ways. First, our microstructural model provides a qualitatively new explanation for the puzzle. Second, we test implications of our model using Europe's recent shift to rigidly...

Persistent link: https://www.econbiz.de/10012470227

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...

Persistent link: https://www.econbiz.de/10012470566

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