Author: René G. J. den HertogPublisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
Differences in Pricing Between Permanent and Transitory Volatility Components
Author: René G. J. den HertogPublisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
Differences in Pricing between Permanent and Transitory Volatility Components
Author: Rene den HertogPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study extends the analysis of the risk-return trade-off. Whereas previous studies regress asset returns on estimates of total volatility, this study distinguishes between permanent and transitory volatility components. To decompose I use a latent variable model for squared residuals. An empirical analysis is presented for holding returns on long-term government bonds from the U.S. and France. The results indicate that both permanent and transitory components are needed to account adequately for the heteroskedasticity of these returns, but only the permanent components are priced.
Cointegration, Causality, and Forecasting
Author: Halbert WhitePublisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
A Permanent and Transitory Component Model of Stock Return Volatility
Author: Robert F. EngleThe Pricing of Permanent and Transitory Volatility
Author: René den HertogThe Role of Permanent and Transitory Components in Business Cycle Volatility Moderation
Author: The C.F.A. Digest
Author: Institute of Chartered Financial AnalystsPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 930
Book Description
Managing Economic Volatility and Crises
Author: Joshua AizenmanPublisher: Cambridge University Press
ISBN: 1139446940
Category : Business & Economics
Languages : en
Pages : 615
Book Description
Economic volatility has come into its own after being treated for decades as a secondary phenomenon in the business cycle literature. This evolution has been driven by the recognition that non-linearities, long buried by the economist's penchant for linearity, magnify the negative effects of volatility on long-run growth and inequality, especially in poor countries. This collection organizes empirical and policy results for economists and development policy practitioners into four parts: basic features, including the impact of volatility on growth and poverty; commodity price volatility; the financial sector's dual role as an absorber and amplifier of shocks; and the management and prevention of macroeconomic crises. The latter section includes a cross-country study, case studies on Argentina and Russia, and lessons from the debt default episodes of the 1980s and 1990s.
Imperfect Information and Saving in a Small Open Economy
Author: Christian DaudePublisher: International Monetary Fund
ISBN: 145522104X
Category : Business & Economics
Languages : en
Pages : 50
Book Description
Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We show evidence suggesting that uncertainty about the underlying stochastic process is present in commodity prices. In addition, we build a dynamic stochastic general equilibrium model with informational frictions, which explicitly considers uncertainty about the nature of shocks. When formulating expectations, the economy assigns some probability to the shocks being temporary even if they are actually permanent. Parameter instability in the stochastic process implies that optimal saving levels (debt holdings) should be higher (lower) compared to a process with fixed parameters. Imperfect information about the nature of shocks matters when commodity GDP shares are high. Thus, economic policies based on misperception of the underlying regime can lead to substantial over/under saving with important associated costs.
Forecasting in the Presence of Structural Breaks and Model Uncertainty
Author: David E. RapachPublisher: Emerald Group Publishing
ISBN: 044452942X
Category : Business & Economics
Languages : en
Pages : 691
Book Description
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.