This paper models and estimates the volatility of nonfinancial, innovative and hi-tech focused stock index, the Nasdaq-100, using univariate asymmetric GARCH models. We employ EGARCH and GJR-GARCH using daily data over the period January 4, 2000 through March 19, 2019. We find that the...

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the state vector prevents or at least severely impedes their...

Cryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, we investigate which market contributes the most to the evolution of the common volatility component of cryptocurrency markets. We extract each of the markets’ latent volatility...

Financial markets face occasional shocks, which may come from geopolitical, economic, financial or other sources. In this paper, we consider the reaction of financial markets to the onset of severe conditions in the aftermath of Feb. 15, 2020. In particular, we analyze the primary and derivative...

We study the conditions under which input-output networks can dynamically attain competitive equilibrium, where markets clear and profits are zero. We endow a classical firm network model with simple dynamical rules that reduce supply/demand imbalances and excess profits. We show that the time...

This paper is the first to use loan level data to investigate the relationship between equity volatility and financial leverage on the firm level. We use a comprehensive dataset of large syndicated loans with a total loan amount in excess of 12 trillion USD. This allows us to precisely identify...

Sudden and rapid changes in the economy leads to an increase in volatility. The fact that high volatility in financial markets brings along an increase in risk made it necessary to model it. Modeling volatility, which is accepted as a measure of risk, will benefit investors in their attitudes...

We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to the model alongside Google Trends with markets...

We examine how credit constraints affect the cyclical behavior of productivity-enhancing investment and thereby volatility and growth. We first develop a simple growth model where firms engage in two types of investment: a short-term one and a long-term productivity-enhancing one. Because it...