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van der Ploeg, Frederick - 2010

Are natural resources a 'curse' or a 'blessing'? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a resource...

Persistent link: https://www.econbiz.de/10010270490

On Estimation of Volatility of Financial Time Series for Pricing Derivatives

Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21

Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …

Persistent link: https://www.econbiz.de/10005036300

Natural Resources: Curse or Blessing?

Ploeg, Frederick Van der - CESifo - 2010

Are natural resources a “curse” or a “blessing”? The empirical evidence suggests either outcome is possible. The paper surveys a variety of hypotheses and supporting evidence for why some countries benefit and others lose from the presence of natural resources. These include that a...

Persistent link: https://www.econbiz.de/10008534046

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279

Brexit and CDS spillovers across UK and Europe

Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

Persistent link: https://www.econbiz.de/10012259768

The impact of macroeconomic news on exchange rate volatility

Laakkonen, Helinä - 2004

This study investigates the impact of new information on the volatility of exchange rates.The impact of scheduled US … and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method.The results were consistent with earlier studies.Macroeconomic news increased volatility significantly, and …

Persistent link: https://www.econbiz.de/10012147922

Macroeconomic Instability in the European Monetary System?

Zumaquero, Amalia Morales; Rivero, Simón Sosvilla - Centro de Estudios Andaluces, Government of Andalusia - 2006

and Perron (2003). Results indicate that there is some evidence of structural breaks in volatility across investigated … variables, playing the realignments in the ERM a significant role in the reduction of volatility in some countries and sub … volatility of the member countries. …

Persistent link: https://www.econbiz.de/10005063173

The impact of macroeconomic news on exchange rate volatility

Laakkonen, Helinä - Suomen Pankki - 2004

This study investigates the impact of new information on the volatility of exchange rates. The impact of scheduled US … and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method. The results were consistent with earlier studies. Macroeconomic news increased volatility significantly, and …

Persistent link: https://www.econbiz.de/10005648850

Statistical Properties of Forward Libor Rates

Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

Persistent link: https://www.econbiz.de/10005558300

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN Journal of Applied Statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012604575