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Gesucht nach "Volatility".
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Publikationen // 01.10.2023
question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal [...] Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher growth rates is associated with lower stock volatility. Inflation forecasts predict higher [...] higher or lower stock volatility depending on the state of the economy and the stance of monetary policy. Forecasts of higher unemployment rates are good news for stocks during expansions and go along with
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Publikationen // 30.10.2020
of shocks and the impact on volatility, the influence is mainly from allowances to credits. The allowance price volatility explains between 56% and 72% of the credit volatility whereas the latter explains [...] advantage of cheaper abatement opportunities enables efficiency gains, the impact on the price volatility in the emission trading schemes is unclear. We conduct an empirical analysis of the short-term
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Publikationen // 15.10.2018
The term structure of return volatility is estimated for both UK and US direct and securitised commercial real estate, using vector autoregressions. In a similar manner to the general stock market, returns [...] news, which can be interpreted as an under-reaction to cash-flow news. When estimating the return volatility of direct real estate markets, long-term investors need not be concerned about the choice of the [...] the parameter value used to unsmooth appraisal-based returns, because estimates of long-term volatility are almost unaffected by this choice.