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Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns
Geweke, John - 2008
With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10012773422
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Nelson-Siegel, Affine and Quadratic Yield Curve Specifications : Which One is Better at Forecasting?
Nyholm, Ken - 2010
In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and …
Persistent link: https://www.econbiz.de/10013143327
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Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe
Claeys, Peter - 2014
The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...
Persistent link: https://www.econbiz.de/10013056837
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How Arbitrage-Free is the Nelson-Siegel Model?
Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - 2021
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those …
Persistent link: https://www.econbiz.de/10013316584
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A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
de Vincent-Humphreys, Rupert - 2011
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
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Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area
Garcia, Juan A. - 2016
This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...
Persistent link: https://www.econbiz.de/10012984568
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Central Bank Communication on Financial Stability
Born, Benjamin - 2011
Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the...
Persistent link: https://www.econbiz.de/10013127492
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Capital Controls and International Financial Stability : A Dynamic General Equilibrium Analysis in Incomplete Markets
Buss, Adrian - 2013
In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...
Persistent link: https://www.econbiz.de/10013077233
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2013
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10013080094
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...
Persistent link: https://www.econbiz.de/10013157672