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Ebook Macroeconomics and Volatility: Data, Models, a

macroeconomics is concerned with the dynamic effects of shocks. for instance, the real business cycle research program originated with an investigation of the consequences of changes in productivity (kydland and prescott, 1982). later, the new generation of monetary models of the late 1990s and early 2000s was particularly focused on shocks to monetary... (18 天前)

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Ebook Pricing Interest Rate Caps in a Generalized Af

interest rate caps and swaptions collectively represent the largest class of interest rate options. they are widely used by firms for managing interest rate risk. they are also the most liquid over-the counter interest rate derivatives traded. indeed, according to the bank of international settlement, by the end of 2001 the combined notional values of ... (18 天前)

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Ebook A Multifactor Stochastic Volatility Model with

three relevant stylized facts have emerged from the analysis of financial time series, namely, time-varying conditional variance (or heteroscedasticity), time-varying conditional leverage effect, and time-varying conditional skewness. since these time series characteristics are common to many financial assets, and given that these assets are likely to ... (18 天前)

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Ebook A Factor-Based Stochastic Implied Volatility M

the increasing use and complexity of derivatives makes a framework necessary that enables for an accurate and consistent pricing and hedging, risk management, and trading of derivative products, including all kinds of exotic derivatives.read more... (18 天前)

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Ebook Consumption Volatility and the Cross-Section o

the question what door should investors care about? remains central in asset pricing and a variety of models continue to provide alternative answers. investment opportunities are risky and investors face multiple sources of financial and macroeconomic risks that they should hedge themselves against when constructing their portfolios. this paper provide... (42 天前)

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Ebook Macroeconomic Uncertainty and Asset Prices: A

time-varying macroeconomic uncertainty is an important ingredient for asset valuation. when there is a great deal of uncertainty about how an economy will evolve overtime, this state is likely to be reflected in asset prices because financial markets demand premiums for bearing such non-diversifiable risk. the recent episode of financial crisis in 2008... (42 天前)

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Ebook The Endogeneity of the Optimum Currency Area C

countries considering whether to enter the proposed european economic and monetary union (emu) weigh the potential benefits of joining the currency union against the inevitable costs. joining a currency union brings benefits such as a reduction in the transactions costs associated with trading goods and services between countries with different moneys.... (42 天前)

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