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Measuring market expectations
Baumeister, Christiane - 2021
evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that …
Persistent link: https://www.econbiz.de/10012622575
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Measuring the impact of monetary policy attention on global asset volatility using search data
Wohlfarth, Paul - 2018
Persistent link: https://www.econbiz.de/10011903650
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Measuring market expectations
Baumeister, Christiane - 2021
Persistent link: https://www.econbiz.de/10012613628
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Modelling volatility during the current financial crisis : an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International journal of trade and global markets 5 (2012) 3/4, pp. 171-194
Persistent link: https://www.econbiz.de/10009722142
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …
Persistent link: https://www.econbiz.de/10011877284
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Inflation risk premia, yield volatility, and macro factors
Berardi, Andrea; Plazzi, Alberto - In: Journal of financial econometrics 17 (2019) 3, pp. 397-431
Persistent link: https://www.econbiz.de/10012054457
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A statistical measure of global equity market risk
Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012321944
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An empirical validation of financial contagion by a multivariate VAR model
Boutabba, Islem - In: International journal of business and economics 18 (2019) 2, pp. 221-244
Persistent link: https://www.econbiz.de/10012138318
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...
Persistent link: https://www.econbiz.de/10012422545
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Long-term foreign exchange risk premia and inflation risk
Daehwan, Kim; Moneta, Fabio - In: International review of financial analysis 78 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013253471