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Estimating and forecasting large panels of volatilities with approximate dynamic factor models

Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176

Persistent link: https://www.econbiz.de/10011305278

Financial instability and economic activity

Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021

negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits … of uncertainty indicators for forecasting industrial production, employment and the stock market, using different … models including the original financial uncertainty index in terms of forecasting. …

Persistent link: https://www.econbiz.de/10012792745

Common Stochastic Volatility in International Real Estate Market

Fadi, Mohamadou L.; Wang, Yongsheng - In: Journal of Reviews on Global Economics 3 (2014), pp. 131-139

This study examined the real estate markets of Europe, North America, and Asia using daily continental real estate indices. It applied a multivariate stochastic volatility model to analyze the behavior of volatility trends in these markets. The results showed comovements in volatilities,...

Persistent link: https://www.econbiz.de/10010782104

Why the Low Volatility Anomaly Will Persist

Falkenstein, Eric G. - 2016

Common explanations of the low volatility anomaly involve biases or frictions that cause investors to overpay for high volatility assets, giving them a negative alpha within the CAPM model, yet currently all such mechanisms are either heuristic or partial equilibrium. This paper shows that...

Persistent link: https://www.econbiz.de/10013005554

Financial integration, volatility and crises

Makrem, Ben Doudou - In: Atlantic review of economics : AROE 2 (2014)

In this paper, we present the root cause of the American financial crisis in 2007. We show that financial integration and capital flow volatility is the factor that creates a climate conducive to the emergence of the crisis in the USA and led to its spread to the rest of the world. On the...

Persistent link: https://www.econbiz.de/10011308147

The Volatility Effect in Emerging Markets

Blitz, David - 2012

We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed...

Persistent link: https://www.econbiz.de/10013107005

Explanations for the Volatility Effect : An Overview Based on the CAPM Assumptions

Blitz, David - 2013

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return, but empirical studies find the actual relation to be flat, or even negative. This paper provides a broad overview of explanations for this ‘volatility effect' that have been proposed in different...

Persistent link: https://www.econbiz.de/10013081327

The Volatility Effect in Emerging Markets

Blitz, David - 2013

Persistent link: https://www.econbiz.de/10013083432

Exchange Rate Uncertainty and the Microeconomic Benefits of Emu

Friberg, Richard; Vredin, Anders - 1998

This paper attempts to review the argument that EMU leads to benefits from lower exchange rate uncertainty. Two questions are addressed. First, there is the microeconomic question of how exchange rate uncertainty affects firms. Second, there is the macroeconomic question of how EMU affects...

Persistent link: https://www.econbiz.de/10014075028

Explanations for the Volatility Effect : An Overview Based on the CAPM Assumptions

Blitz, David - 2013

Persistent link: https://www.econbiz.de/10013072693