Asset volatility
نویسندگان
چکیده
منابع مشابه
Asset Holding and Consumption Volatility
We investigate the possibility that limited participation in asset markets, and the stock market in particular, might explain the lack of correspondence between the sample moments of the intertemporal marginal rate of substitution and asset returns in U.K. data. We estimate ownership probabilities to separate “likely” shareholders from nonshareholders, enabling us to control for changing compos...
متن کاملAsset pricing under information with stochastic volatility
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness a...
متن کاملAsset Allocation Models and Market Volatility
While asset allocation and risk management models all assume at least short-term stability of the covariance structure of asset returns, actual covariance and correlation relationships vary wildly, even over short horizons. Moreover, correlations increase in volatile periods, reducing the power of diversification when it might most be desired. We attempt to explain these phenomena and to presen...
متن کاملAsset modeling, stochastic volatility and stochastic correlation
Asset prices are typically modeled with the geometric Brownian motion (GBM). Correlation between the assets is exogenously modeled and then ad-hoc assigned to the asset prices. This is conceptually and mathematically unsatisfying. We create a new, simple approach, which simultaneously models stochastic volatility and stochastic correlation. This approach replicates the realworld volatility – co...
متن کاملEconomic Policy Uncertainty & Asset Price Volatility∗
We document that fear about misspecified economic and central bank policies explain 45% of variations in bond option implied volatilities and interest rate volatilities. We endogenize this empirical pattern with a parsimonious equilibrium asset pricing model. In equilibrium, volatility is endogenously driven by fear of not knowing the data generating process that drives future economic and futu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Accounting Studies
سال: 2017
ISSN: 1380-6653,1573-7136
DOI: 10.1007/s11142-017-9431-1