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Jump tail risk exposure and the cross-section of stock returns 跳跃尾部风险暴露与股票收益截面
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101565
Lykourgos Alexiou , Leonidas S. Rompolis
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引用次数: 0
High-frequency realized stochastic volatility model 高频实现随机波动模型
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-11-02 DOI: 10.1016/j.jempfin.2024.101559
Toshiaki Watanabe , Jouchi Nakajima
{"title":"High-frequency realized stochastic volatility model","authors":"Toshiaki Watanabe ,&nbsp;Jouchi Nakajima","doi":"10.1016/j.jempfin.2024.101559","DOIUrl":"10.1016/j.jempfin.2024.101559","url":null,"abstract":"<div><div>A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-frequency stochastic volatility model is fit to intraday returns by extensively incorporating intraday volatility patterns. The daily realized volatility calculated using intraday returns is incorporated into the high-frequency stochastic volatility model by considering the bias in the daily realized volatility caused by microstructure noise. The volatility of intraday returns is assumed to consist of the autoregressive process, the seasonal component of the intraday volatility pattern, and the announcement component responding to macroeconomic announcements. A Bayesian method via Markov chain Monte Carlo is developed for the analysis of the proposed model. The empirical analysis using the 5-minute returns of E-mini S&amp;P 500 futures provides evidence that our high-frequency realized stochastic volatility model improves in-sample model fit and volatility forecasting over the high-frequency stochastic volatility model.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101559"},"PeriodicalIF":2.1,"publicationDate":"2024-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are stablecoins the money market mutual funds of the future? 稳定币是未来的货币市场共同基金吗？
IF 2.1 2区 经济学
Journal of Empirical Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jempfin.2024.101557
Nico Oefele, Dirk G. Baur, Lee A. Smales
{"title":"Are stablecoins the money market mutual funds of the future?","authors":"Nico Oefele,&nbsp;Dirk G. Baur,&nbsp;Lee A. Smales","doi":"10.1016/j.jempfin.2024.101557","DOIUrl":"10.1016/j.jempfin.2024.101557","url":null,"abstract":"<div><div>This paper is the first to provide a comprehensive comparison of two financial instruments: stablecoins and money market mutual funds (MMFs). We observe similar reserve asset backing for fiat reserve backed (FRB) stablecoins and MMFs, similar importance of sponsor support, and the same negative association between macroeconomic indicators and peg deviations. Both instruments serve as short-term facilities for investors to park funds and their primary market microstructure is similar. However, FRB stablecoins exhibit larger dispersions from the dollar peg, significantly higher volatility, and a lack of transparency in their market infrastructure. Larger FRB stablecoins show reduced volatility compared to their smaller counterparts, with peg deviation drivers more closely resembling those of MMFs. We conclude that FRB stablecoins demonstrate remarkable similarities to MMFs and have the potential to become the MMFs of the future.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"79 ","pages":"Article 101557"},"PeriodicalIF":2.1,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142653724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
COVID-19, bank deposits, and lending COVID-19，银行存款和贷款
IF 2.6 2区 经济学
Journal of Empirical Finance Pub Date : 2022-09-01 DOI: 10.1016/j.jempfin.2022.05.003
H. Özlem Dursun-de Neef , Alexander Schandlbauer
{"title":"COVID-19, bank deposits, and lending","authors":"H. Özlem Dursun-de Neef ,&nbsp;Alexander Schandlbauer","doi":"10.1016/j.jempfin.2022.05.003","DOIUrl":"10.1016/j.jempfin.2022.05.003","url":null,"abstract":"<div><p>During the pandemic, households accumulated savings in their deposit accounts as a result of a reduction in their spending, which occurred due to the restrictions on their mobility. This led to a significant increase in bank deposits for banks located in counties with a larger reduction in spending. Banks, in turn, used these additional funds to issue more real estate loans. This implies that policies that might affect household spending would lead to changes in the volume of deposits in the banking system, which have consequences on banks’ loan supply.</p></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"68 ","pages":"Pages 20-33"},"PeriodicalIF":2.6,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9378067/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10387855","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
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