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We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10010877642
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10010659187
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …
Persistent link: https://www.econbiz.de/10012756639
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10013316571
standard results about a smooth trade-off between inflation and output volatility. Our results are: (i) The policy space … volatility of variables to be non monotone in policy parameters. (iii) When beliefs are diverse a central bank must also consider … the volatility of individual consumption and the related volatility of financial markets. We show aggressive anti …
Persistent link: https://www.econbiz.de/10011205380
standard results about a smooth trade-off between inflation and output volatility. Our results are: (i) The policy space … volatility of variables to be non monotone in policy parameters. (iii) When beliefs are diverse a central bank must also consider … the volatility of individual consumption and the related volatility of financial markets. We show aggressive anti …
Persistent link: https://www.econbiz.de/10013024741
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10011257668
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10008572532
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10008583696