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Conditional Volatility Persistence
2017This study provides evidence on the common determinants for two prominent features of equity market volatility: its persistence over time and its asymmetric dependence on past returns. We show that daily volatility persistence increases with current returns, especially negative returns. It decreases with current volatility.
Jian-Xin Wang, Minxian Yang
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Mortgage Terminations: The Role of Conditional Volatility [PDF]
Journal of Real Estate Research, 2002 This article is the winner of the Real Estate Finance manuscript prize (sponsored by Fannie Mae Foundation) presented at the 2001 American Real Estate Society Annual Meeting.Studies of mortgage termination decisions typically rely on a competing risks framework comparing defaults and prepayments.
David M. Harrison +2 more
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Exponentiation of conditional expectations under stochastic volatility
Quantitative Finance, 2017We use the Itô Decomposition Formula (see Alòs (2012)) to express certain conditional expectations as exponentials of iterated integrals. As one application, we compute an exact formal expression for the leverage swap for any stochastic volatility model expressed in forward variance form. As another, we show how to extend the Bergomi Guyon expansion to
Alòs, Elisa +2 more
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Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
Journal of Economic Dynamics and Control, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jondeau, E., Rockinger, M.
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Credit risk modeling under conditional volatility [PDF]
, 2014 The accuracy of measuring credit risk directly decides on the interest on credit, which has to be paid when raising a credit, and the amount of capital to keep in reserve by a firm. The structural credit risk model proposed by Merton (1974) lays the groundwork for the assessment of a firm's credit risk by its default probability.
Rohde, Johannes, Sibbertsen, Philipp
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Intrinsic Liquidity in Conditional Volatility Models
Annals of Economics and Statistics, 2016Until recently the liquidity of financial assets has typically beenviewed as a second-order consideration. Liquidity was frequently associatedwith simple transaction costs that impose - temporary if any- effect on assetprices, and whose shocks could be easily diversified away.
Darolles, Serge +3 more
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Forecasting stock market volatility conditional on macroeconomic conditions. [PDF]
, 2007 This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the macroeconomic information available (and/or forecasts)is used in ...
Ralf Becker, Adam Clements
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Discount factor and conditional return volatility
Applied Financial Economics Letters, 2005Using Campbell's (1991) unexpected return decomposition, the implications of the Rational Valuation Formula are derived in terms of unconditional volatility of discount factors, given conditional return volatility and hence given the volatility of unexpected returns.
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