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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
future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …
Persistent link: https://www.econbiz.de/10011604412
We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …
Persistent link: https://www.econbiz.de/10011605412
We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …
Persistent link: https://www.econbiz.de/10013121824
We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...
Persistent link: https://www.econbiz.de/10013020665
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
volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …
Persistent link: https://www.econbiz.de/10013154951
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
periods of low and high economic volatility (more specifically, we consider 2002-2007, which falls into the ‘Great Moderation …
Persistent link: https://www.econbiz.de/10013315981
This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism …
Persistent link: https://www.econbiz.de/10013316599