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Explaining the Great Moderation: it is not the shocks

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2008

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/10011604911

A mean variance king? Creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter E. - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

Persistent link: https://www.econbiz.de/10010297797

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility

Herrmann, Klaus - 2008

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …

Persistent link: https://www.econbiz.de/10010299748

Nonlinear ACD model and informed trading: Evidence from Shanghai Stock Exchange

Wong, Woon K.; Tan, Dijun; Tian, Yixiang - 2008

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...

Persistent link: https://www.econbiz.de/10010288824

The signal of volatility

Strohsal, Till; Weber, Enzo - 2012

inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to …

Persistent link: https://www.econbiz.de/10010318768

On the Effects of Private Information on Volatility

Opschoor, Anne; van der Wel, Michel; van Dijk, Dick; … - 2011

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

Persistent link: https://www.econbiz.de/10010325972

Macroeconomic shocks and sector excess returns : evidence from the Australian stock market

Fraser, Patricia; Groenewold, Nicolaas - 1995

Persistent link: https://www.econbiz.de/10000931921

Discretionary trading and asset price volatility

Aziz, Jahangir - 1995

Persistent link: https://www.econbiz.de/10000924276

The impact of uncertainty in the oil and gold market on the cross-section of stock returns

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015

Persistent link: https://www.econbiz.de/10011547101

Price discovery on foreign exchange markets with differentially informed traders

Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10011301161

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