Author: Frank K. Reilly
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 92
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Book Description
General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975.
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
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Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Carl Chiarella
Publisher: Routledge
ISBN: 1135984506
Category : Biography & Autobiography
Languages : en
Pages : 513
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Book Description
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Author: A. R. Pagan
Publisher: London : Centre for Decision Sciences and Econometrics, University of Western Ontario
ISBN:
Category : Econometric models
Languages : en
Pages : 52
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Book Description
Author: Paul De Grauwe
Publisher: CEPS
ISBN: 929079819X
Category : Monetary policy
Languages : en
Pages : 22
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Book Description
The question of whether central banks should target stock prices so as to prevent bubbles and crashes from occurring has been hotly debated. This paper analyses this question using a behavioural macroeconomic model. This model generates bubbles and crashes. It analyses how 'leaning against the wind' strategies, which aim to reduce the volatility of stock prices, can help in reducing volatility of output and inflation. We find that such policies can be effective in reducing macroeconomic volatility, thereby improving the trade-off between output and inflation variability. The strength of this result, however, depends on the degree of credibility of the inflation-targeting regime. In the absence of such credibility, policies aiming at stabilising stock prices do not stabilise output and inflation.
Author: Jean-Paul Chavas
Publisher: University of Chicago Press
ISBN: 022612892X
Category : Business & Economics
Languages : en
Pages : 394
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Book Description
"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Author: Stephen J. Taylor
Publisher: World Scientific
ISBN: 9812770852
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Author: Frank K. Reilly
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 62
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Book Description
Author: John Y. Campbell
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 66
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Book Description
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
