Using a large panel data set containing detailed information on educational attainments as well as financial and socioeconomic variables for individual investors, we show that economists are more likely to hold stocks than otherwise identical investors. First, we consider the change in...

This paper examines the relationship between interest-rate volatility and the shape of the yield curve. The yield curve is parsimoniously described by its level,slope,and curvature. The level,the slope and the curvature are analyzed within a trivariate heteroskedastic model, where the...

The paper introduces and estimates a multivariate level-GARCH model for the long rate and the term structure spread where the conditional volatility is proportional to the gamma'th power of the variable itself (level effects) and the conditional covariance matrix evolves according to a...

The paper aims to improve the knowledge of the empirical properties of the long maturity region of the forward rate curve. Firstly, the theoretical negative correlation between the slope at the long end of the forward rate curve and the term structure variance is recovered empirically and found...

This paper analyzes the impact of macroeconomic announcements on the correlation between credit spreads and the term structure of interest rates. We propose to employ an extended version of the Constant Conditional Correlations framework of Bollerslev (1990) to describe the evolution of the...

In this paper we analyze the empirical properties of the volatility implied in options on the 13-week US Treasury bill using both ITM, ATM, and OTM options. This market has not been studied previously. Moreover, these options are interesting because they are identical to options written on...

This paper contains a multivariate analysis of the effects of macroeconomic news on the U.S. bond market. In particular, we consider releases of Employment Situation and Producer Price Index (PPI) reports (released monthly on pre-announced dates) and the excess returns of 2, 3, 5, 7, 10, and 30...

This paper presents a methodology for calculating the Value at Risk (VaR) of portfolios of financial assets using a multivariate ARCH model. A slight modification of the factor-ARCH model proposed by Engle, Ng, and Rothschild (1990) is used to calculate VaR of portfolios of Danish zero-coupon...

We analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. We use a multinomial logit model to...

We investigate whether there are systematic gender differences in financial investment decisions. We use an exceptionally comprehensive register based panel data set including a wide range of socioeconomic and financial background characteristics of both investors who do and do not hold stocks....