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Full-Text Articles in Econometrics
Are Volatility Expectations In Different Countries Interdependent? A Data-Driven Solution To Structural Var Identification For Implied Equity Volatility Indices, Timothy De Silva
Are Volatility Expectations In Different Countries Interdependent? A Data-Driven Solution To Structural Var Identification For Implied Equity Volatility Indices, Timothy De Silva
Undergraduate Economic Review
Over the past couple of decades, the number of volatility indices has increased rapidly. Although the dynamics of realized volatility spillover have been studied extensively, very few studies exist that examine the spillover between these implied volatility indices. By using DAG-based structural vector autoregression, this paper provides evidence that implied volatility spillover differs from realized volatility spillover. Through solving the well-known VAR identification problem for these indices, this paper finds that Asia, more specifically Hong Kong, plays a central role in implied volatility spillover during and after the 2008 financial crisis.
The Effect Of New York City Sports Outcomes On The Stock Market, Nir Levy
The Effect Of New York City Sports Outcomes On The Stock Market, Nir Levy
Undergraduate Economic Review
This thesis investigates whether sports outcomes for New York City based teams affect the daily returns, volatility or trading volume of major stock indexes in the United States. I research whether events that affect local mood in a major financial center can influence national stock indexes by swaying the sentiment of workers in the financial sector. By performing an event study I found evidence that returns are abnormally high following championships won by New York City professional sports teams. Returns are abnormally low and volume is abnormally high following elimination from a championship round.
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala
Undergraduate Economic Review
This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.