Refine
Year of publication
- 2005 (43) (remove)
Document Type
- Working Paper (36)
- Conference Proceeding (2)
- Part of Periodical (2)
- Report (2)
- Periodical (1)
Language
- English (43) (remove)
Is part of the Bibliography
- no (43)
Keywords
- Geldpolitik (7)
- Europäische Union (5)
- Währungsunion (5)
- Aktienmarkt (3)
- Banking (3)
- GARCH (3)
- Haushalt (3)
- Inflation (3)
- Risikomanagement (3)
- USA (3)
- Volatilität (3)
- Asymmetrische Information (2)
- Bank (2)
- Credit Cards (2)
- Deflation (2)
- ECB Monetary Policy (2)
- EMU (2)
- Einkommen (2)
- Euro Area (2)
- Europäische Zentralbank (2)
- Gewinn (2)
- Inflation Convergence (2)
- Konjunkturzyklus (2)
- Kreditkarte (2)
- Kreditmarkt (2)
- Liquidity Trap (2)
- Minimax (2)
- Model Uncertainty (2)
- Monetary Policy Rules (2)
- Moral Hazard (2)
- Portfolio Choice (2)
- Portfoliomanagement (2)
- Reform (2)
- Regional Diversity (2)
- Risikokapital (2)
- Risk Sharing (2)
- Robustness (2)
- Sparen (2)
- Verbrauch (2)
- Wettbewerb (2)
- Wohlstand (2)
- Zinsfuß (2)
- asymmetric information (2)
- contract design (2)
- moral hazard (2)
- public policy (2)
- realized volatility (2)
- venture capital (2)
- Öffentliche Ordnung (2)
- ARCH-Modell (1)
- Adverse Selection (1)
- Aggregate Fluctuations (1)
- Asset Securitisation (1)
- Asset Side Market Discipline (1)
- Ausbreitung (1)
- Bankenaufsicht (1)
- Banking Regulation (1)
- Basle 2 (1)
- Basle Committee (1)
- Basler Eigenkapitalvereinbarung , 2001 (1)
- Borrowing (1)
- Brokerage (1)
- Business Cycle (1)
- Capital-Asset-Pricing-Modell (1)
- Cat Bonds (1)
- Collateralized debt obligation (1)
- Commitment (1)
- Competition (1)
- Consumer Credit (1)
- Consumer Finance (1)
- Consumption Dynamics (1)
- Consumption Inequality (1)
- Consumption-Saving (1)
- Contingent Commissions (1)
- Costly Capital (1)
- Debt (1)
- Disinflation (1)
- Downward Nominal Rigidity (1)
- Dynamic Optimization (1)
- Einkommensteuer (1)
- Einkommensunterschied (1)
- Endogenous Gridpoints (1)
- Equity Culture (1)
- Equity Premium (1)
- Exchange Rate Mechanism (1)
- Expected Equity Returns (1)
- FOMC (1)
- Fat-tails (1)
- Federal Reserve (1)
- Financial Information (1)
- Financial Innovation (1)
- Finanzplanung (1)
- Flat Taxes (1)
- GARCH-Prozess (1)
- Gauß-Funktion (1)
- Geldmarkt (1)
- Geschichte 1979-1980 (1)
- Geschichte 1995 (1)
- Geschichte 1995-1998 (1)
- Geschichte 1998 (1)
- Gleichgewicht (1)
- Haftungsbeschränkung (1)
- Haushal (1)
- History-Dependent Policy (1)
- Household Portfolios (1)
- Hyperbolic Distribution (1)
- Implied Probability Densities (1)
- Incomplete Insurance Contracts (1)
- Incomplete Markets (1)
- Index Trigger (1)
- Inequality (1)
- Inflation Inertia (1)
- Inflation Targeting (1)
- Inflation targeting (1)
- Insurance (1)
- Intergenerational Risk Sharing (1)
- Internationaler Vergleich (1)
- Japan (1)
- Kanada (1)
- Kapitalmarkt (1)
- Kaufentscheidung (1)
- Konsumentenkredit (1)
- Kreditrisiko (1)
- Kreditsicherung (1)
- Kreditwesen (1)
- Kurtosis (1)
- Langzeitvertrag (1)
- Laplace Distribution (1)
- Laplace-Verteilung (1)
- Limited Commitment (1)
- Limited Enforcement (1)
- Liquidity Constraints (1)
- Liquiditätspräferenztheorie (1)
- Livingston Survey (1)
- Long-term Contracts (1)
- Markov Perfect Equilibrium (1)
- Markov-Modell (1)
- Marktrisiko (1)
- Mitgliedsstaaten (1)
- Mixture Distributions (1)
- Mobility (1)
- Nelson-Siegel model (1)
- New Keynesian (1)
- Nominalzins (1)
- Nonlinear Optimal Policy (1)
- Nonlinear Policy (1)
- Occasionally Binding Constraint (1)
- Optimal Monetary Policy (1)
- Optimal Taxation (1)
- Option (1)
- Options (1)
- Pareto Inferior (1)
- Paul Volcker (1)
- Portfolio Selection (1)
- Portfolio-Management (1)
- Precautionary Saving (1)
- Prediction (1)
- Preisstabilität (1)
- Prognose (1)
- Progressive Taxation (1)
- Reputation (1)
- Risk Aversion (1)
- Risk Premium (1)
- Risk Transfer (1)
- Schätzung (1)
- Self Control (1)
- Sequential Policy (1)
- Sicherheit (1)
- Social Insurance (1)
- Social Security Reform (1)
- Sozialversicherung (1)
- Staatsaufsicht (1)
- Steuerprogression (1)
- Stochastic Growth Model (1)
- Stochastische dynamische Optimierung (1)
- Stock Market Participation (1)
- Stock Market Returns (1)
- Stockholding (1)
- Transition (1)
- Trust (1)
- USA / Board of Governors of the Federal Reserve System (1)
- Vermögen (1)
- Versicherungsvertrag (1)
- Versicherungswirtschaft (1)
- Vertrauen (1)
- Wealth Distribution (1)
- Wechselkurs (1)
- Wirtschaftspolitik (1)
- Zerobond (1)
- affine equilibrium model (1)
- buffer-stock models of saving (1)
- business cycle (1)
- business owners wealth (1)
- commitment (1)
- conditional CAPM (1)
- density forecasting (1)
- disinflation (1)
- finance (1)
- interest rates (1)
- liquidity trap (1)
- monetary policy (1)
- monetary reform (1)
- nonlinear optimal policy (1)
- normal inverse gaussian distribution (1)
- old cohorts wealth (1)
- operating procedures (1)
- policy rules (1)
- realized beta (1)
- realized quarticity (1)
- risk (1)
- term structure (1)
- yield curve (1)
- zero interest rate bound (1)
Institute
- Center for Financial Studies (CFS) (43) (remove)
Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic-volatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing "observable" or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA models, have become a promising strategy for modeling and predicting (daily) volatility. In this paper, we show that the residuals of the commonly used time-series models for realized volatility exhibit non-Gaussianity and volatility clustering. We propose extensions to explicitly account for these properties and assess their relevance when modeling and forecasting realized volatility. In an empirical application for S&P500 index futures we show that allowing for time-varying volatility of realized volatility leads to a substantial improvement of the model's fit as well as predictive performance. Furthermore, the distributional assumption for residuals plays a crucial role in density forecasting. Klassifikation: C22, C51, C52, C53
Trusting the stock market
(2005)
We provide a new explanation to the limited stock market participation puzzle. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function not only of the objective characteristics of the stock, but also of the subjective characteristics of the investor. Less trusting individuals are less likely to buy stock and, conditional on buying stock, they will buy less. The calibration of the model shows that this problem is sufficiently severe to account for the lack of participation of some of the richest investors in the United States as well as for differences in the rate of participation across countries. We also find evidence consistent with these propositions in Dutch and Italian micro data, as well as in cross country data. Klassifikation: D1, D8
Volatility forecasting
(2005)
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1.