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ASYMMETRIC VOLATILITY (asymmetric + volatility)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE

ECONOMIC INQUIRY, Issue 2 2008
SEI-WAN KIM
We study how three interrelated phenomena,excess stock returns and risk relation, risk aversion, and asymmetric volatility movement,change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that excess stock return increases and asymmetric volatility movement is weakened during boom periods. This suggests that investors become more risk-averse during boom periods (i.e., procyclical risk aversion), which we confirm using a calibration of a simple equilibrium model. (JEL C32, E32, G12) [source]

On the Asymmetric Volatility of Employment Outflows

LABOUR, Issue 4 2002
Gareth Leeves
Recent research into job flow dynamics highlights the asymmetry in aggregate employment adjustment. This has implications for patterns of worker flow adjustment. This paper draws upon modelling strategies developed in the applied finance literature to characterize the asymmetry of aggregate employment outflow volatility. It is found that higher employment outflow volatility is associated with negative shocks, when the outflow is lower than expected. This, it is suggested, could be associated with the dynamic processes linking the hiring and turnover of workers. [source]

Asymmetric volatility of basis and the theory of storage

THE JOURNAL OF FUTURES MARKETS, Issue 4 2005
Andre H. Gao
The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using the so-called "direct test" approach, which employs a direct measurement of inventory levels, or the "indirect test" approach, which examines the relative variation of spot and futures prices and the relative variation of negative basis to positive basis as alternative proxies for inventory levels. The rationale behind the indirect test is based on the hypothesis that futures prices are less variable than spot prices when inventory is low, and have similar variability when inventory is high. The authors propose a "unified test" of the theory of storage that incorporates aspects of both direct and indirect tests in an ARMAX-asymmetric GARCH model framework. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:399,418, 2005 [source]

Realized volatility and correlation in energy futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 10 2008
Tao Wang
Using high-frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry-Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non-Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long-memory, but the realized correlation between the two futures does not, implying rather weak inter-market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993,1011, 2008 [source]