𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Financial leverage and market volatility with diverse beliefs

✍ Scribed by Wen-Chung Guo; Frank Yong Wang; Ho-Mou Wu

Publisher
Springer
Year
2010
Tongue
English
Weight
645 KB
Volume
47
Category
Article
ISSN
0938-2259

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Market interdependence and financial vol
Market interdependence and financial volatility transmission in East Asia
✍ Giampiero M. Gallo; Margherita Velucchi πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 233 KB

## Abstract In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the

Can exchange seat prices predict financi
Can exchange seat prices predict financial market volatility?
✍ Taewoo You; Mark E. Holder πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 162 KB

## Abstract There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate future

Detecting multiple breaks in financial m
Detecting multiple breaks in financial market volatility dynamics
✍ Elena Andreou; Eric Ghysels πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 183 KB

## Abstract The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data‐driven volatility estimators using high‐frequency data. In addit