1,527 research outputs found
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
No full textWe investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature.
Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models
No full textWe investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed- maturity zero-coupon bonds ('realized yield volatility') through the use of high-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the cross- section of yields. We conclude that a broad class of affine diffusive, Gaussian-quadratic and affine jump-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond market. We also advocate using the empirical realized yield volatility measures more broadly as a basis for specification testing and (parametric) model selection within the term structure literature.Bonds ; Treasury bonds
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No full textThe VST (Very Large Telescope Survey Telescope) is an 2.6 m class Alt-Az telescope which will be installed in the European Southern Observatory (ESO) Paranal site, Chile. It has been designed by the Technology Working Group of the Astronomical Observatory of Capodimonte, Italy. The VST is an 1 degree(s) X 1 degree(s) wide-field imaging facility planned to supply databases for the ESO VLT science and carry out stand-alone observations in the UV to I spectral range starting in the year 2001. All the solutions adopted in the VST design comply to the ESO VLT standards. This paper reports a technical overview of the telescope design
Realized volatility
No full textRealized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market the estimate achieves consistency for the underlying quadratic return variation when returns are sampled at increasingly higher frequency. We begin with an account of how and why the procedure works in a simplified setting and then extend the discussion to a more general framework. Along the way we clarify how the realized volatility and quadratic return variation relate to the more commonly applied concept of conditional return variance. We then review a set of related and useful notions of return variation along with practical measurement issues (e.g., discretization error and microstructure noise) before briefly touching on the existing empirical applications.Stochastic analysis
Wage formation and European integration
No full textEuropean integration is likely to affect labour market performance through various routes. One important channel is the effects product market integration has on labour markets. This paper reviews how product market integration may strengthen labour market interdependencies between integrating economies and therefore affect both the level of employment and the flexibility by which wages adjust to shocks.integration, european integration, labour market performance, product market integration, wage formation, wages, employment, Andersen
Assessing Long-term Performance in Manufacturing Companies Hit by a Natural Disaster: The Role of Organizational Resilience and Human Capital
No full textNatural disasters represent an increasing threat to businesses, putting at risk their continuity in light of sustainable performance conditions.
The present chapter explores the role of organizational resilience and of human capital in manufacturing companies hit by a natural disaster, an earthquake in the current study, by considering performance in the long run. In doing so, a survey has been performed on a sample of 131 manufacturing companies by the Emilia earthquake (Italy) in 2012, considering both perceptual data and balance sheet data. This represents a key contribution of this chapter, as extant literature on the impact of resilience
on business performance has mainly used perceptual data; conversely, ourstudy, considering balance sheet data, enables a more comprehensive and realistic view of the phenomenon. The sample was selected from the AIDA database, as it includes revenue data that we could add to the perceptual measures obtained by administering a structured questionnaire.
Partial least squares structural equation modeling (PLS-SEM) was then employed. The results show the importance of developing adaptive processes that leverage on the organization’s human capital and resilience to respond to adverse exogenous events. More specifically, it has been found that human capital and organizational resilience are profitable to post-disaster economic performance in the long run, supporting the economic sustainability of affected businesses. The implications are related to reinforcing new business solutions and adaptive strategies, looking at both organizational resilience and human capital investment to reach a stable economic business performance in the long-run after a detrimental event
Stochastic volatility
No full textGiven the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive. The main framework used in this context involves stochastic volatility models. In a broad sense, this model class includes GARCH, but we focus on a narrower set of specifications in which volatility follows its own random process, as is common in models originating within financial economics. The distinguishing feature of these specifications is that volatility, being inherently unobservable and subject to independent random shocks, is not measurable with respect to observable information. In what follows, we refer to these models as genuine stochastic volatility models. Much modern asset pricing theory is built on continuous- time models. The natural concept of volatility within this setting is that of genuine stochastic volatility. For example, stochastic-volatility (jump-) diffusions have provided a useful tool for a wide range of applications, including the pricing of options and other derivatives, the modeling of the term structure of risk-free interest rates, and the pricing of foreign currencies and defaultable bonds. The increased use of intraday transaction data for construction of so-called realized volatility measures provides additional impetus for considering genuine stochastic volatility models. As we demonstrate below, the realized volatility approach is closely associated with the continuous-time stochastic volatility framework of financial economics. There are some unique challenges in dealing with genuine stochastic volatility models. For example, volatility is truly latent and this feature complicates estimation and inference. Further, the presence of an additional state variable - volatility - renders the model less tractable from an analytic perspective. We examine how such challenges have been addressed through development of new estimation methods and imposition of model restrictions allowing for closed-form solutions while remaining consistent with the dominant empirical features of the data.Stochastic analysis
A framework for exploring the macroeconomic determinants of systematic risk
No full textWe selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals
Taxes and employment - is there a Scandinavia puzzle ?
No full textRecent debates have suggested that taxation is very detrimental to labour force participation and employment. However, some countries - notably the Scandinavian - stand out as contradictions to this view since they have managed to sustain high labour force participation despite high tax rates and a generous social safety net.This paper considers the experience of European countries and Scandinavia compared to the US and asks whether Scandinavian countries are outliers. First, it is argued that the simple "tax argument" does not capture the European experience since labour force participation for some age groups is at the same or a higher level than the US. Second, it is argued that even though the social safety net is generous in Scandinavian countries, it is also very employment conditional. It is shown that these conditionalities can make high labour force participation consistent with a high marginal effective taxation of labour, and that it on the margin lowers the marginal costs of public funds. The design of the social safety net is therefore important in accounting for the Scandinavian experience.Taxes and employment, is there a Scandinavia puzzle? taxation of labour, employment, labour force participation, social safety net, Andersen
From Excess to Shortage - Recent Developments in the Danish Labour Market
No full textThe Danish labour market has undergone a remarkable change during the 1990s with a reduction of the unemployment rate from about 12 per cent in 1993 to less than 6 per cent at the turn of the century. This reflects both a turn in the business cycle but also structural changes related to shifts in labour market policies. The focus of labour market policies has been changed from passive measures towards more active measures and there has also been important changes in the unemployment insurance system. This paper offers an overview of the developments in the Danish labour market during the 1990s, and reviews the major policy shifts, as well as possible explanations of the remarkable reduction in unemployment.
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