Some Stylized Facts about Volatility
Realized Volatility and Stylized Facts of Chinese Treasury Bond Market
... the volatility stylized facts of CTBM is useful to test the volatility theory and study the investor behaviors in emerging market more deeply as well as to compare it with stock ...
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Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data
... disaggregate data By Moulay Driss ELBOUSTY a† & Lahsen OUBDI 1baaa Abstract. Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and ...
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Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
... whether stylized facts of equity- based volatility indices apply to fixed-income volatility ...bond volatility indices (TBVIXs) with a fixed 30- day maturity using the market prices of ...
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Stylized Facts and Discrete Stochastic Volatility Models
... Many model checking criteria (Carlin and Louis, 1996; Gelman, Carlin, Stern and Rubin, 1996; Gilks, Richardson and Spiegelhalter, 1996; Key, Pericchi and Smith, 1999) have been proposed and discussed before the ...
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Lisa Borland. A multi-timescale statistical feedback model of volatility: Stylized facts and implications for option pricing
... -Applications: Options and Credit • The multi-time scale model.. -Capturing the stylized facts • Work in progress and conclusions..[r] ...
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Some Stylized Facts for Investment Strategies
... on some stylized facts of stock and bond markets through historical analysis and on investment strategies related to asset ...(mean), volatility (variance), and correlations between the return ...
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Fiscal Policy Space and Economic Performance: Some Stylized Facts
... This is a first cut at defining a “fiscal event” and this definition could be improved upon in several ways. First, the “event” should not be interpreted as entirely discretionary (or unanticipated). The large set of ...
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Sovereign Wealth Funds: Stylized Facts about their Determinants and Governance
... Further insight is gained by considering a simple example, where the equity shock, δ , takes on two values, either δ or − , each with probability one half, implying mean value 0 and δ standard deviation δ . Agents’ ...
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Sovereign wealth funds: stylized facts about their determinants and governance
... Further insight is gained by considering a simple example, where the equity shock, δ , takes on two values, either δ or − , each with probability one half, implying mean value 0 and δ standard deviation δ . Agents’ ...
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Commodity and Equity Markets: Some Stylized Facts from a Copula Approach
... say about the cross-market linkages between traditional assets and commodities since the 2000s? The answers matter because the adverse e¤ects of volatility in the physical commod- ity market on the balance ...
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Commodity and Equity Markets: Some Stylized Facts from a Copula Approach.
... say about the cross-market linkages between traditional assets and commodities since the 2000s? The answers matter because the adverse e¤ects of volatility in the physical commod- ity market on the balance ...
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Some stylized facts of returns in the foreign exchange and stock markets in Peru
... of volatility, at all frequencies, positive and neg- ative cross correlations ...stock volatility cluster around 2001 and 2003-2004, periods of lesser uncertain scenarios in the stock mar- ...market ...
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Some Stylized Facts of Short Term Stock Prices of Selected Nigerian Banks
... known stylized fact of non-normality of financial returns has implications for financial modelling, portfolio management, risk and general investment analysis [12] [48] [49] [50] ...for some of the ...
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Inflation Target Fulfillment in the Czech Republic in 1998–2007: Some Stylized Facts
... inflation volatility has been significantly higher, which makes target fulfillment more difficult in the longer ...high volatility – moved away from the target band relatively ...inflation ...
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A Minimal Model of Financial Stylized Facts
... the volatility of returns, see for instance [1, ...the volatility auto- correlation are all universal evidences, shared among dif- ferent markets in different ...these stylized facts, where ...
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Business Cycle Models and Stylized Facts in Germany
... for some basic stylized facts with a particular emphasis on monetary ...for some stylized facts in ...overall volatility is too high and the level of the relative ...
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Manufacturing firms in Africa: Some stylized facts about wages and productivity
... do some people prefer to work for informal firms? Although informal firms pay low wages, Maloney (2004) notes that it is difficult to compare wages in the formal and informal ...Moreover, some people like ...
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Manufacturing firms in Africa: Some stylized facts about wages and productivity
... do some people prefer to work for informal firms? Although informal firms pay low wages, Maloney (2004) notes that it is difficult to compare wages in the formal and informal ...Moreover, some people like ...
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Some stylized facts of the Bitcoin market
... Abstract In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical ...
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The global distribution of trademarks - some stylized facts
... While some suggest that cross-border registrations of IPRs may be associated with welfare transfers from developing to industrial countries, surprisingly little is known about an important component of the ...
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