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Displaying results 1 to 25 of 107.

  1. 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
    Media type: Book
    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
  2. 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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    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
  3. Volatility and development
    Author: Koren, Miklós
    Published: 2005
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    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.
  4. 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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    VS 203 (2016,42)
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    Language: English
    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
  5. Understanding reputational risks
    the impact of ESG events on European banks
    Author: Akyildirim, Erdinc; Corbet, Shaen; Ongena, Steven; Staunton, David
    Published: [2024]
    Publisher:  Swiss Finance Institute, Geneva

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Language: English
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    Series: Swiss Finance Institute research paper series ; no 24, 39
    Subjects: Banking; Reputation; Sentiment; ESG; Abnormal Returns; Volatility
    Scope: 1 Online-Ressource (circa 39 Seiten)
  6. Technological deversification
    Published: Oct. 2007
    Publisher:  Centre for Economic Performance, London

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    Language: English
    Media type: Book
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    Series: CEP discussion paper / Centre for Economic Performance ; 824
    Subjects: Wirtschaftswachstum; Konjunktur; Volatilität; Technischer Fortschritt; Internationale Arbeitsteilung; Vergleich; Theorie; Entwicklungsländer; Industrieländer
    Other subjects: Array
    Scope: Online-Ressource, 45 S., Text, graph. Darst.
  7. Economic policy uncertainty and the volatility of sovereign CDS spreads
    Author: Raunig, Burkhard
    Published: January 17, 2018
    Publisher:  OeNB, Oesterreichische Nationalbank, Vienna, Austria

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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264811
    Series: Working paper / OeNB, Oesterreichische Nationalbank ; 219
    Subjects: Credit default swap; Economic policy uncertainty; Sovereign credit risk; Volatility
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  8. Stock market bubbles and the forecastability of gold returns (and volatility)
    Author: Gabauer, David; Gupta, Rangan; Karmakar, Sayar; Nielsen, Joshua
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 11159/8724
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 28 (June 2022)
    Subjects: Gold; Stock Markets; Bubbles; Forecasting; Returns; Volatility
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  9. Volatility and systematic risks in financial markets
    Author: Würsig, Christoph Matthias
    Published: 2022
    Publisher:  Gottfried Wilhelm Leibniz Universität, Hannover

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    Universitätsbibliothek Braunschweig
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    UB Weimar
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    Source: Union catalogues
    Contributor: Prokopczuk, Marcel (AkademischeR BetreuerIn); Dierkes, Maik (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Marktmacht; Systematisches Risiko; Vorhersage von Aktienrenditen; Rohstoffmärkte; Volatilität; Extrem-Risiko; Market power; systematic risk; Return Predictability; Commodity Market; Volatility; Tail Risk
    Scope: 1 Online-Ressource (11, I-IV, 274 Seiten, 2.768 Mb), Diagramme
    Notes:

    Literaturverzeichnis

    Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, 2022
  10. Superstition and risk-taking
    evidence from "zodiac year" beliefs in China
    Author: Fisman, Raymond; Huang, Wei; Ning, Bo; Pan, Yue; Qiu, Jiaping; Wang, Yongxiang
    Published: [2022]
    Publisher:  Boston University - Department of Economics, [Boston, MA]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [IED working papers] ; 370
    Subjects: Risk aversion; Innovation; Mergers&Acquisitions; Volatility; Household Finance; Superstition; China; Zodiac Year
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
    Notes:

    This version: April 29, 2022
  11. Regime switching, exchange rate volatility and intervention in BRICS currency markets
    Author: Das, Suman; Roy, Saikat Sinha
    Published: May 2020
    Publisher:  RIS, Research and Information System for Developing Countries, New Delhi (India)

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: RIS discussion papers ; RIS-DP # 247
    Subjects: Exchange Rate; Markov Regime Switching; Volatility; Exchange Market Pressure; Intervention Index; Market Synchronization; BRICS
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  12. The certification role of the EU-wide stress testing exercises in the stock market
    what can we learn from the stress tests (2014-2021)?
    Author: Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we... more

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    What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity returns. First, we study the effect of the disclosure of stress tests on (cumulative) excess/abnormal returns through a one-factor market model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress tests through a structural GARCH model, developed by Engle and Siriwardane (2018). Our results suggest that the publication of stress tests provides new information to markets. Banks performing poorly in stress tests experience, on average, a reduction in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing moderately have rather a small effect on both mean and variance process. Our findings are corroborated by the observed rank correlation between bank abnormal returns or equity volatility and stress test performance, which experiences a steady increase after each publication event. These results suggest that the publication of stress tests improves price discrimination between 'good' and 'bad' banks, which can be interpreted as a certification role of the stress tests in the stock market.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289952965
    Other identifier:
    hdl: 10419/269118
    Series: Working paper series / European Central Bank ; no 2711 (August 2022)
    Subjects: Stress tests; Financial stability; Stock markets; Excess return; Volatility
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. The dynamics of tax compliance
    Author: Pappadà, Francesco
    Published: [2022]
    Publisher:  Paris School of Economics, Paris

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    Source: Union catalogues
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    Format: Online
    Series: Working paper / Paris School of Economics ; no 2022, 13
    Subjects: Tax compliance; Volatility; Fiscal policy
    Scope: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  14. On the instability of banking and other financial intermediation
    Author: Gu, Chao; Monnet, Cyril; Nosal, Ed; Wright, Randall D.
    Published: [2019]
    Publisher:  Study Center Gerzensee, Gerzensee

    Are financial intermediaries inherently unstable? If so, why? What does this suggest about government intervention? To address these issues we analyze whether model economies with financial intermediation are particularly prone to multiple, cyclic,... more

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    Are financial intermediaries inherently unstable? If so, why? What does this suggest about government intervention? To address these issues we analyze whether model economies with financial intermediation are particularly prone to multiple, cyclic, or stochastic equilibria. Four formalizations are considered: a dynamic version of Diamond-Dybvig banking incorporating reputational considerations; a model with delegated investment as in Diamond; one with bank liabilities serving as payment instruments similar to currency in Lagos-Wright; and one with Rubinstein-Wolinsky intermediaries in a decentralized asset market as in Duffi e et al. In each case we find, for different reasons, financial intermediation engenders instability in a precise sense.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/224157
    Series: Working paper / Study Center Gerzensee ; 19, 04
    Subjects: Banking; Financial Intermediation; Instability; Volatility
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  15. Does the inclusion of exposure to volatility into diversified portfolio improve the investment results?: portfolio construction from the perspective of a Polish investor
    Author: Latoszek, Michał; Ślepaczuk, Robert
    Published: 2019
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Source: Union catalogues
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    Series: Working papers / Faculty of Economic Sciences, University of Warsaw ; no. 2019, 14 = 299
    Subjects: Volatility; asset class; portfolio optimization; Polish market; Markowitz portfolio; naïve diversification
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  16. Stuctural transformation in general equilibrium
    Author: Moro, Alessio; Valdes, Carlo
    Published: 2019
    Publisher:  Maastricht Economic and Social Research Institute on Innovation and Technology (UNU-MERIT), Maastricht, The Netherlands

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Working paper series / United Nations University, UNU-MERIT ; #2019, 049
    Subjects: Structural Change; Growth; Volatility
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  17. Uncertainty over production forecasts
    an empirical analysis using monthly firm survey data
    Author: Morikawa, Masayuki
    Published: 2017
    Publisher:  RIETI, [Tokyo, Japan]

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    Language: English
    Media type: Book
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    Series: RIETI discussion paper series ; 17-E, 081
    Subjects: Production; Uncertainty; Forecast error; Manufacturing; Volatility
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  18. Dispersion and volatility of TFPQ in service industries
    Author: Morikawa, Masayuki
    Published: 2017
    Publisher:  RIETI, [Tokyo, Japan]

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    Language: English
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    Series: RIETI discussion paper series ; 17-E, 088
    Subjects: Service industry; TFP; Dispersion; Volatility
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  19. Heterogeneous investor behaviors and market volatility in the Tokyo Stock Exchange
    Author: Kimura, Yosuke
    Published: 2017
    Publisher:  RIETI, [Tokyo, Japan]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: RIETI discussion paper series ; 17-E, 003
    Subjects: Volatility; Trading volume; Foreign investors; Heterogeneous behaviors
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  20. Safe haven currency and market uncertainty
    yen, renminbi, dollar, and alternatives
    Author: Masujima, Yuki
    Published: 2017
    Publisher:  RIETI, [Tokyo, Japan]

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    Series: RIETI discussion paper series ; 17-E, 048
    Subjects: Safe haven; Yen; Renminbi; Bitcoin; Volatility; Carry trade; Capital flows
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  21. The long memory of equity volatility and the macroeconomy
    international evidence
    Author: Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, Philipp
    Published: [2020]
    Publisher:  Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover, [Hannover]

    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic... more

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    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/216967
    Series: Hannover economic papers (HEP) ; Nummer: 667 (Feb 2020)
    Subjects: International; Long Memory; Volatility
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  22. Uncertainty over exchange rates and exports
    evidence from dispersion of expectations as a measure of uncertainty
    Author: Morikawa, Masayuki
    Published: 2016
    Publisher:  RIETI, [Tokyo, Japan]

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    Language: English
    Media type: Book
    Format: Online
    Series: RIETI discussion paper series ; 16-E, 010
    Subjects: Exchange rate; Uncertainty; Disagreement; Volatility; Export
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  23. Foreign exchange market structure and exchange rate volatility in Bangladesh
    Author: Yousuf, Md.; Hossain, Md. Sakawat; Salahuddin Naser, Mahmud; Islam, Md. Ezazul
    Published: August 2020
    Publisher:  Bangladesh Bank, [Dhaka]

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    Series: BB working paper series / Bangladesh Bank ; WP no. 20, 04
    Subjects: Exchange rate; Volatility; ARCH; GARCH
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  24. Prediction accuracy of bivariate score-driven risk premium and volatility filters
    an illustration for the Dow Jones
    Author: Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian
    Published: [2020]
    Publisher:  UC3M, Universidad Carlos III de Madrid, [Getafe (Spain)]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10016/31339
    Series: Array ; 2020, 10
    Subjects: Volatility; Risk Premium; Dynamic Conditional Score; Generalized Autoregressive Score
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  25. Commodity price volatility and the economic uncertainty of pandemics
    Author: Bakas, Dimitrios; Triantafyllou, Athanasios
    Published: Apr/2020
    Publisher:  Rimini Centre for Economic Analysis, Waterloo, Ontario

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 714
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / the Rimini Centre for Economic Analysis ; 20, 12
    Subjects: Pandemics; Commodity Markets; Economic Uncertainty; Volatility
    Scope: 1 Online-Ressource (circa 16 Seiten), Illustrationen