Zobrazeno 1 - 10
of 36
pro vyhledávání: '"IVAN SHALIASTOVICH"'
Publikováno v:
The Journal of Finance. 78:141-208
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90ab84729178f9a4b4adf3566c9f1d96
https://doi.org/10.1111/jofi.13196
https://doi.org/10.1111/jofi.13196
Publikováno v:
Journal of Financial Economics. 144:456-491
The option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd68cf3ae32b3180b094bc86cd80fd25
https://doi.org/10.1016/j.jfineco.2021.08.016
https://doi.org/10.1016/j.jfineco.2021.08.016
Autor:
Ivan Shaliastovich, Yang Liu
Publikováno v:
Journal of Financial Economics. 143:303-331
Measures of U.S. government policy approval, such as U.S. Presidential or Congressional ratings, are strongly related to persistent fluctuations in the dollar exchange rates. Contemporaneous correlations between approval ratings and the dollar value
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::375f76c373aa8698c62658c1ea098f42
https://doi.org/10.1016/j.jfineco.2021.06.031
https://doi.org/10.1016/j.jfineco.2021.06.031
We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country’s output volatility is associated with a decrea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::df8b38834d5722b1830757d9904a8536
http://hdl.handle.net/11565/4039285
http://hdl.handle.net/11565/4039285
Autor:
Gill Segal, Ivan Shaliastovich
Times of elevated aggregate uncertainty are associated with lower investment, but surprisingly, future capital growth does not drop and even increases in the data. To reconcile this novel evidence, we show that high uncertainty predicts lower utiliza
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e81b767477b4dd708517385625facc6c
Autor:
Mete Kilic, Ivan Shaliastovich
Publikováno v:
Management Science. 65:2522-2544
We measure “good” and “bad” variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next one
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d6ae78fd235d0e5d840b7991509bb85
https://doi.org/10.1287/mnsc.2017.2890
https://doi.org/10.1287/mnsc.2017.2890
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4df1209539974399fc16befab06f74e
https://doi.org/10.2139/ssrn.4015823
https://doi.org/10.2139/ssrn.4015823
Autor:
Yang Liu, Ivan Shaliastovich
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::56d6373cda8be26d6ae9ea8e1c903670
https://doi.org/10.2139/ssrn.4016112
https://doi.org/10.2139/ssrn.4016112
Publikováno v:
SSRN Electronic Journal.
We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to per share equity dividends, total corporate payouts are very volatile, turn negative when corporations rai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f52775b6c72ce13d3f174681fd90d3f
https://doi.org/10.2139/ssrn.3557559
https://doi.org/10.2139/ssrn.3557559
Publikováno v:
Journal of Financial and Quantitative Analysis. 54:2423-2452
We show that market volatility of volatility is a significant risk factor that affects index and volatility index option returns, beyond volatility itself. The volatility and volatility of volatility indices, identified model-free as the VIX and VVIX
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2bfa425a795cd70922261899946a368
https://doi.org/10.1017/s0022109018001436
https://doi.org/10.1017/s0022109018001436