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Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10013316627

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10013317566

Is the corporate bond market forward looking?

Hilscher, Jens - 2007

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

Persistent link: https://www.econbiz.de/10011604846

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Persistent link: https://www.econbiz.de/10011604905

Country and industry equity risk premia in the euro area: an intertemporal approach

Cappiello, Lorenzo; Lo Duca, Marco; Maddaloni, Angela - 2008

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as...

Persistent link: https://www.econbiz.de/10011604959

The impact of the euro on financial markets

Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006

We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...

Persistent link: https://www.econbiz.de/10011604644

An Alternative View of Exchange Market Pressure Episodes in Emerging Europe : An Analysis Using Extreme Value Theory (EVT)

Heinz, Frigyes Ferdinand - 2015

Using extreme value theory tools, we demonstrate that the distributions of the exchange market pressure (EMP) series for most of twelve emerging Europe countries have heavy tails, and disregarding their tail properties may lead to substantial underestimation of the probability of tail events....

Persistent link: https://www.econbiz.de/10013019633

Carry Trades and Monetary Conditions

Falconio, Andrea - 2021

This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...

Persistent link: https://www.econbiz.de/10013315488

Carry Trades and Monetary Conditions

Falconio, Andrea - 2021

This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk diﬀer substantially across monetary conditions before the onset of the ﬁnancial...

Persistent link: https://www.econbiz.de/10013310704