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Displaying results 1 to 25 of 54.

  1. Exogenous drivers of cryptocurrency volatility
    a mixed data sampling approach to forecasting
    Author: Walther, Thomas; Klein, Tony
    Published: June 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers on finance ; no. 2018, 15
    Subjects: Bitcoin; Cryptocurrencies; GARCH; Mixed Data Sampling; Volatility
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
    Notes:

    Working Paper Version 1 - June 7, 2018
  2. A new approach to volatility modeling
    the high-dimensional Markov Model
    Author: Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud
    Published: [2016]
    Publisher:  CORE, [Louvain-la-Neuve]

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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/179137
    Series: CORE discussion papers ; 2016, 42
    Subjects: Volatility; Markov-switching; Persistence; Leverage effect
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  3. Trading volume, illiquidity and commonalities in FX markets
    Author: Ranaldo, Angelo; Santucci de Magistris, Paolo
    Published: November 15, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors... more

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    In a regime of floating FX rates and open economies, it is important to understand the way through which FX rates, volatility, and trading volume interrelate. To uncover this, we provide a simple theoretical framework to jointly explore these factors in a multi-currency environment. Through the use of a unique intraday data representative for the global FX market, the empirical analysis validates our theoretical predictions: (i) more disagreement increases FX trading volume, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the Amihud (2002) measure, for which we provide a theoretical underpinning, is effective in measuring FX illiquidity. Not only do these findings support an integrated analysis of FX rate evolution and risk, but our work also offers a straightforward method to measure FX illiquidity and commonality. For investors, these insights should increase the efficiency of trading and risk analysis. For policy makers, our work highlights the developments of FX global volume, volatility, and illiquidity across time and currencies, which can be important for the implementation of monetary policy and financial stability

     
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    Series: Working papers on finance ; no. 2018, 23
    University of St.Gallen, School of Finance Research Paper ; No. 2018/23
    Subjects: FX Trading Volume; Volatility; Illiquidity; Commonalities; Arbitrage
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Transitorisch: Strategien gegen die Vergänglichkeit
    Gestaltgebungen des Ephemeren in der Gegenwartskunst von Meret Oppenheim bis Christian Boltanski
    Author: Gardner, Belinda Grace
    Published: 2017
    Publisher:  transcript Verlag

    Als essenzielle Dynamik unseres Menschseins und unserer fundamental flüchtigen Zeit schlägt sich das TRANSITORISCHE in der Kunst der Gegenwart nieder. Die Untersuchung versammelt 14 internationale Künstlerinnen und Künstler, die dem Ephemeren eine... more

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    Als essenzielle Dynamik unseres Menschseins und unserer fundamental flüchtigen Zeit schlägt sich das TRANSITORISCHE in der Kunst der Gegenwart nieder. Die Untersuchung versammelt 14 internationale Künstlerinnen und Künstler, die dem Ephemeren eine Form und ein Stück weit Dauer geben. Zentrale Themen sind die Beschäftigung mit der Conditio humana und eine existenziell unterfütterte Verbildlichung des Flüchtigen und TRANSITORISCHEN, in denen Kreisläufe des Werdens und Vergehens ebenso produktiv gemacht werden wie die transzendenten Energien der Empathie, der Liebe und der kollektiven Teilhabe.Das TRANSITORISCHE nimmt Gestalt an in: Meret Oppenheims Wolkenformationen, den Zeitfallen von Daniel Spoerri, Maria Fisahns Vitalisierungen des Verfalls, Marilyn Minters Störbildern des Glamours, Catherine Bolducs Luftschlössern der Wahrnehmung, Naho Kawabes existenziellen Licht- und Schattenspielen, Ena Swanseas Malerei einer ungreifbaren Wirklichkeit, Lorenz Estermanns nomadisierenden Bauten zwischen Aufbruch und Verfall, Mirko Reissers Selbstportraits im Wandel, Volker Langs Erinnerungsräumen, Luis Camnitzers mehrfach gebrochenen Spiegelungen, Teresa Margolles' Elegien vergangenen Daseins, Felix Gonzalez-Torres' Memento mori der Liebe und in der Lebensspurensicherung von Christian Boltanski TRANSITORINESS finds expression in contemporary art as an essential dynamic of our humanity and our fundamentally transient times. This survey assembles 14 international artists who are engaged in giving shape to the ephemeral and extending its duration. Conceiving existentially underpinned figurations of the evanescent and the TRANSITORY, in which the cycles of life and death and the transcendent energies of empathy, love, and collective participation take effect, they are deeply engaged in their work with the human condition.The TRANSITORY becomes manifest in: Meret Oppenheim's cloud formations, the time traps of Daniel Spoerri, Maria Fisahn's vitalizations of decay, Marilyn Minter's disruptive representations of glamour, Catherine Bolduc's perceptual castles in the air, Naho Kawabe's existential interplay of light and shadow, Ena Swansea's paintings of an intangible reality, Lorenz Estermann's nomadic constructions between departure and dissolution, Mirko Reisser's self-portraits in transformation, Volker Lang's spaces of recollection, Luis Camnitzer's multiply fractured reflections, Teresa Margolles's elegies of former existence, Felix Gonzalez-Torres's memento mori of love, and in Christian Boltanski's preservation of life's fleeting traces

     
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  5. The impact of oil price shocks on selected macroeconomic variables in Uganda
    Author: Nakayaga, Marris; Samula, Liz; Bwire, Thomas
    Published: June 2019
    Publisher:  Bank of Uganda, [Kampala]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Series: Working paper series / Bank of Uganda ; no. 2017, 03
    Subjects: Oil Price shock; Volatility; Macro economy; transmission channels
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  6. IO in I-O: size, industrial organization, and the input-output network make a firm structurally important
    Author: Grassi, Basile
    Published: [2017]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Language: English
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    Format: Online
    Edition: This version: December 22, 2017
    Series: Working paper series / IGIER ; n. 619
    Subjects: Input-Output Network; Production Network; Shocks Propagation; Oligopoly; Imperfect Competition; Industrial Organization; Firm Heterogeneity; Random Growth; Granularity; Volatility; Micro-Origin of Aggregate Fluctuations; Business Cycle
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  7. On measuring social tensions
    with applications to Brazil
    Author: Neri, Marcelo Cortes; Kakwani, Nanak
    Published: dezembro de 2017
    Publisher:  Escola de Pós-Graduação em Economia da Fundação Getulio Vargas, Rio de Janeiro

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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10438/19455
    Series: Ensaios econômicos ; no 791
    Subjects: Social Tension; Social Welfare; Inequality; Poverty; Polarization; Middle Class; Volatility; Social Mobility
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  8. Optimal monetary policy with inflation, output and asset price volatility in an open economy
    Author: Wamalwa, Peter Simiyu
    Published: August, 2023
    Publisher:  African Economic Research Consortium, Nairobi, Kenya

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    Language: English
    Media type: Ebook
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    ISBN: 9789966612359
    Series: Research paper / African Economic Research Consortium ; 532
    Subjects: Optimal monetary policy; Output fluctuations; Prices; Volatility
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  9. Good vs. bad volatility in major cryptocurrencies
    the dichotomy and drivers of connectedness
    Author: Sila, Jan; Kočenda, Evžen; Krištoufek, Ladislav; Kukacka, Jiri
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness... more

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    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. The results suggest that crypto connectedness reflects important events and exhibits more variable and cyclical dynamics than those of traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over substantially faster than news about comparable market surges. Overall, the connectedness dynamics are predominantly driven by fundamental crypto factors, while the asymmetry measure also depends on macro factors such as the VIX index and the expected inflation.

     
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    Other identifier:
    hdl: 10419/286353
    Series: IES working paper ; 2023, 24
    Subjects: Volatility; Dynamic connectedness; Asymmetric effects; Cryptocurrency
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  10. Reasons behind words: OPEC narratives and the oil market
    Author: Brunetti, Celso; Joëts, Marc; Mignon, Valérie
    Published: [2023]
    Publisher:  EconomiX - UMR 7235, Université Paris Nanterre, Nanterre

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    Series: Working paper / EconomiX ; 2023, 24
    Subjects: OPEC Announcements; Structural Topic Models; Volatility; Traders' Positions
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  11. Mind your language
    market responses to central bank speeches
    Author: Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; Neely, Christopher J.; Yang, Xiye
    Published: 02 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18191
    Subjects: Central Bank Communication; Multimodal Machine Learning; Natural Language Pro-cessing; Speech Analysis; High-Frequency Data; Volatility; Tail Risk
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  12. ETF effects
    the role of primary versus secondary market activities
    Author: Comerton-Forde, Carole; Marta, Thomas
    Published: 20 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18234
    Subjects: Liquidity; Arbitrage; Volatility; High frequency trading; Exchange-traded funds
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  13. Impact and hedging attribute of gold in the international financial market
    with latest empirical approach and data
    Author: Qian, Xinyi
    Published: 2021
    Publisher:  Universitätsbibliothek der Universität Siegen, Siegen

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    Staats- und Universitätsbibliothek Bremen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    UB Weimar
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    Source: Union catalogues
    Contributor: Baskaran, Thushyanthan (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Gold; Financial Time Series; Volatility; Spillover; Exchange Rate; Stock Market Index; Hedge; Finanzielle Zeitreihen; Volatilität; Devisenkurs; Aktienmarkt-Index; Absicherung
    Scope: 1 Online-Ressource (circa 101 Seiten)
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    Dissertation, Universität Siegen, 2021
  14. What explains the volatility in Pakistan's sovereign bond yields?
    Author: Waheed, Mohsin; Hyder, Zulfiqar
    Published: April, 2023
    Publisher:  State Bank of Pakistan, Karachi, Pakistan

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    Language: English
    Media type: Book
    Format: Online
    Series: SBP working paper series ; no. 112
    Subjects: Volatility; Sovereign bonds; Yield; Eurobond; Sukuk; Spreads
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  15. Reasons behind words
    OPEC narratives and the oil market
    Author: Brunetti, Celso; Joëts, Marc; Mignon, Valérie
    Published: September 2023
    Publisher:  CEPII, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEPII working paper ; no. 2023-19 (September 2023)
    Subjects: OPEC Announcements; Structural Topic Models; Volatility; Traders' Positions
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  16. The stock market effects of committing and setting GHG targets
    evidence from the science-based initiative
    Author: Guerrero-Escobar, Santiago; Hernández del Valle, Gerardo; Hernández Vega, Marco; Mora, Paula de la
    Published: November 2023
    Publisher:  [Banco de México], [Ciudad de México, México]

    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the... more

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    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this paper analyzes the short-run effects of committing and setting GHG targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these results, we conclude that there are no visible stock market gains in the short term for companies that commit and set GHG targets and that other factors may explain their motivations to engage in GHG mitigation actions.

     
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    Series: Working papers / Banco de México ; no 2023, 15
    Subjects: Stock returns; Volatility; GHG emissions; ESG; GARCH
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  17. COVID-19 containment measures and expected stock volatility
    high-frequency evidence from selected advanced economies
    Author: Acharya, Viral V.; Liu, Yang; Zhao, Yunhui
    Published: June 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead... more

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    We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally absent for one-month-ahead expected volatility. These results provide suggestive evidence for the existence of an intertemporal trade-off: although stringent containment measures cause short-term economic disruptions, they may reduce medium-term uncertainty (reflected in expected stock volatility) by boosting markets' confidence that the outbreak would be under control more quickly

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513573502
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    Series: IMF working paper ; WP/21, 157
    Subjects: Coronavirus; Lockdown; Ankündigungseffekt; Aktienmarkt; Volatilität; USA; Eurozone; COVID Containment; Trade-off; Volatility; Uncertainty; Event studies; Foreign Exchange; Informal Economy; Underground Econom
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  18. The volatility advantages of large labor markets
    Author: Conte, Maddalena; Méjean, Isabelle; Michalski, Tomasz; Schmutz, Benoît
    Published: 18 March 2024
    Publisher:  Centre for Economic Policy Research, London

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    Universität Potsdam, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18925
    Subjects: Volatility; Firm location; Agglomeration economies
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  19. Transitorisch: Strategien gegen die Vergänglichkeit
    Gestaltgebungen des Ephemeren in der Gegenwartskunst von Meret Oppenheim bis Christian Boltanski
    Author: Gardner, Belinda Grace
    Published: 2017
    Publisher:  transcript Verlag, Bielefeld

    Als essenzielle Dynamik unseres Menschseins und unserer fundamental flüchtigen Zeit schlägt sich das TRANSITORISCHE in der Kunst der Gegenwart nieder. Die Untersuchung versammelt 14 internationale Künstlerinnen und Künstler, die dem Ephemeren eine... more

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    Als essenzielle Dynamik unseres Menschseins und unserer fundamental flüchtigen Zeit schlägt sich das TRANSITORISCHE in der Kunst der Gegenwart nieder. Die Untersuchung versammelt 14 internationale Künstlerinnen und Künstler, die dem Ephemeren eine Form und ein Stück weit Dauer geben. Zentrale Themen sind die Beschäftigung mit der Conditio humana und eine existenziell unterfütterte Verbildlichung des Flüchtigen und TRANSITORISCHEN, in denen Kreisläufe des Werdens und Vergehens ebenso produktiv gemacht werden wie die transzendenten Energien der Empathie, der Liebe und der kollektiven Teilhabe.Das TRANSITORISCHE nimmt Gestalt an in: Meret Oppenheims Wolkenformationen, den Zeitfallen von Daniel Spoerri, Maria Fisahns Vitalisierungen des Verfalls, Marilyn Minters Störbildern des Glamours, Catherine Bolducs Luftschlössern der Wahrnehmung, Naho Kawabes existenziellen Licht- und Schattenspielen, Ena Swanseas Malerei einer ungreifbaren Wirklichkeit, Lorenz Estermanns nomadisierenden Bauten zwischen Aufbruch und Verfall, Mirko Reissers Selbstportraits im Wandel, Volker Langs Erinnerungsräumen, Luis Camnitzers mehrfach gebrochenen Spiegelungen, Teresa Margolles' Elegien vergangenen Daseins, Felix Gonzalez-Torres' Memento mori der Liebe und in der Lebensspurensicherung von Christian Boltanski. TRANSITORINESS finds expression in contemporary art as an essential dynamic of our humanity and our fundamentally transient times. This survey assembles 14 international artists who are engaged in giving shape to the ephemeral and extending its duration. Conceiving existentially underpinned figurations of the evanescent and the TRANSITORY, in which the cycles of life and death and the transcendent energies of empathy, love, and collective participation take effect, they are deeply engaged in their work with the human condition.The TRANSITORY becomes manifest in: Meret Oppenheim's cloud formations, the time traps of Daniel Spoerri, Maria Fisahn's vitalizations of decay, Marilyn Minter's disruptive representations of glamour, Catherine Bolduc's perceptual castles in the air, Naho Kawabe's existential interplay of light and shadow, Ena Swansea's paintings of an intangible reality, Lorenz Estermann's nomadic constructions between departure and dissolution, Mirko Reisser's self-portraits in transformation, Volker Lang's spaces of recollection, Luis Camnitzer's multiply fractured reflections, Teresa Margolles's elegies of former existence, Felix Gonzalez-Torres's memento mori of love, and in Christian Boltanski's preservation of life's fleeting traces.

     
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  20. Volatility and development
    Author: Koren, Miklós
    Published: 2005
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (5307)
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 5307
    Subjects: Wirtschaftswachstum; Volatilität; Branchenentwicklung; Wirtschaftsstruktur; Vergleich; Entwicklungsländer; Industrieländer; Volatility
    Scope: 27 S., 10 Bl., graph. Darst.
  21. Funding liquidity, market liquidity and the cross-section of stock returns
    Author: Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin
    Published: April 2016
    Publisher:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2016s-21
    Subjects: Funding risk; Stock returns; Limits to arbitrage; Market liquidity; Volatility
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  22. Volatility vs. downside risk
    optimally protecting against drawdowns and maintaining portfolio performance
    Author: Barro, Diana; Canestrelli, Elio; Lanza, Fabio
    Published: [2014]
    Publisher:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2014, no. 18
    Subjects: Volatility; tail risk; stochastic programming; risk management
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  23. Business cycle variability and growth linkage
    Author: Nkwoma, Inekwe John
    Published: 2014
    Publisher:  Monash Univ., Dep. of Economics, Canberra

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Monash University,Department of Economics ; 14,38
    Subjects: Growth; Volatility; Business; Cycle; Uncertainty; Risk Aversion
    Scope: Online-Ressource (33 S.)
  24. The price effects of innovative security design
    Author: Célérier, Claire; Liao, Gordon; Vallée, Boris
    Published: [2021]
    Publisher:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar pattern exists for the dividend term structure: larger outstanding volumes of retail structured products are associated with a flattened dividend term structured. A simple trading strategy exploiting this pattern leads to a Sharpe ratio above 2. These results are consistent with the existence of segmented markets and speak to the equilibrium effects of the retail demand for innovative securities

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: [Rotman School of Management working paper ; no. 3881268]
    Subjects: Security Design; Volatility; Dividend; Options; Structured Products; Market Segmentation
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  25. On the volatility of cryptocurrencies
    Author: Stengos, Thanasēs; Panagiōtidēs, Theodōros; Papapanagiotou, Georgios
    Published: [2022]
    Publisher:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    VS 624
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    Language: English
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    Format: Online
    Series: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Subjects: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen