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2012-06-26Buch DOI: 10.18452/4416
The Sign of Volaility
dc.contributor.authorStrohsal, Till
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-16T00:41:41Z
dc.date.available2017-06-16T00:41:41Z
dc.date.created2012-11-09
dc.date.issued2012-06-26
dc.date.submitted2012-06-26
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5068
dc.description.abstractThe present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing level of volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the signal of volatility to depend crucially on the combination of its ”sender” and ”receiver”.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectIdentificationeng
dc.subjectUncertaintyeng
dc.subjectInformationeng
dc.subjectSpillovereng
dc.subjectSimultaneous Equationseng
dc.subject.ddc330 Wirtschaft
dc.titleThe Sign of Volaility
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100205525
dc.identifier.doihttp://dx.doi.org/10.18452/4416
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages27
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue43
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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