Téléchargez le livre : Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

de

Éditeur :

Springer Gabler


Collection :

BestMasters

Paru le : 2022-05-03

eBook Téléchargement , DRM LCP 🛈 DRM Adobe 🛈
Lecture en ligne (streaming)
89,66 €
Téléchargement immédiat
Dès validation de votre commande
Image Louise Reader présentation

Louise Reader

Lisez ce titre sur l'application Louise Reader.

badge apple Application Louise Reader
badge Android Application Louise Reader
Description
The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces theimportance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.
Pages
77 pages
Collection
BestMasters
Parution
2022-05-03
Marque
Springer Gabler
EAN papier
9783658374495
EAN PDF
9783658374501
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
7
Taille du fichier
819 Ko
Prix
89,66 €
EAN EPUB
9783658374501
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
7
Taille du fichier
1208 Ko
Prix
89,66 €

Suggestions personnalisées