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Further empirical evidence on stochastic volatility models with jumps in returns
(Elsevier España, S.L., 2012)
info:eu-repo/semantics/article,
Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps
are needed for ...
A forecasting analysis of risk‐neutral equity and Treasury volatilities
(Wiley, 2019)
info:eu-repo/semantics/article,
This paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk ...
Volatility spillovers in the European bank CDS market
(Elsevier, 2015)
info:eu-repo/semantics/article,
From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads ...
The joint cross-sectional variation of equity returns and volatilities
(Elsevier, 2017)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
Future directions in international financial integration research. A crowdsourced perspective
(Elsevier, 2018)
info:eu-repo/semantics/article,
This paper is the result of a crowdsourced effort to surface perspectives on
the present and future direction of international finance. The authors are
researchers in financial economics who attended the INFINITI 2017 ...
Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities
(MDPI, 2020)
info:eu-repo/semantics/article,
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over ...
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
(Routledge, 2020)
info:eu-repo/semantics/article,
This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the ...
A systematic review of sovereign connectedness on emerging economies
(Elsevier, 2019)
info:eu-repo/semantics/article,
This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic ...
Volatility transmission among European Bank CDS
(Universidad de Castilla-La Mancha, 2014)
info:eu-repo/semantics/workingPaper,
A partir de la crisis subprime en 2007 y hasta la reciente crisis de deuda de la zona euro el sector bancario europeo ha experimentado una terrible situación de inestabilidad financiera traducida en un aumento de los niveles ...