Books > Business & Economics > Finance & accounting > Finance > Public finance
|
Buy Now
Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives (Paperback, 1st ed. 2022)
Loot Price: R2,634
Discovery Miles 26 340
|
|
Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives (Paperback, 1st ed. 2022)
Series: BestMasters
Expected to ship within 10 - 15 working days
|
The phenomenon of excess volatility in the context of share prices
and of the term structure of interest rates has been documented by
the existing literature, highlighting the limitations of
traditional models of rational expectations and of reliance on the
efficient market hypothesis. The data violates the bounds on
volatility that are derived from them. Amia Santini studies the
possible shortcomings of the methodologies used to uncover those
inconsistencies, and the potential explanations of the observed
phenomenon that can be considered in line with the rational
expectation framework. She focuses on a relatively newer field of
study: derivative instruments. Previous results of excess
volatility, recovered with a worldwide focus, are presented and an
empirical analysis is performed to assess whether a similar outcome
would be obtained in the Eurozone market. The exploration of
financial information that falls underneath the risk-neutral
measure, such as derivative prices, reduces the importance of
time-varying discount rates as a potential explanation of excess
volatility. In fact, the martingale measure already incorporates
all potential variation in risk premia, which is the main driver of
changes in discount rates. This opens the door to different and
innovative prospects, and specific attention is paid to a new model
for investor behaviour, that of natural expectations.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
|
|
Email address subscribed successfully.
A activation email has been sent to you.
Please click the link in that email to activate your subscription.