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Volatility (Hardcover)
Torben G Andersen, Tim Bollerslev
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R21,371
Discovery Miles 213 710
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Ships in 12 - 17 working days
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Volatility ranks among the most active and successful areas of
research in econometrics and empirical asset pricing finance over
the past three decades. This research review studies and analyses
some of the most influential published works from this burgeoning
literature, both classic and contemporary. Topics covered include
GARCH, stochastic and multivariate volatility models as well as
forecasting, evaluation and high-frequency data. This insightful
review presents and discusses the most important milestones and
contributions that helped pave the way to today's understanding of
volatility.
Using a unique high-frequency futures dataset, we characterize the
response of U.S., German and British stock, bond and foreign
exchange markets to real-time U.S. macroeconomic news. We find that
news produces conditional mean jumps; hence high-frequency stock,
bond and exchange rate dynamics are linked to fundamentals. Equity
markets, moreover, react differently to news depending on the stage
of the business cycle, which explains the low correlation between
stock and bond returns when averaged over the cycle. Hence our
results qualify earlier work suggesting that bond markets react
most strongly to macroeconomic news; in particular, when
conditioning on the state of the economy, the equity and foreign
exchange markets appear equally responsive. Finally, we also
document important contemporaneous links across all markets and
countries, even after controlling for the effects of macroeconomic
news.
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