In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue fo... more In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue for their introduction to the US market accompanied with the appropriate legislative structure and oversight. The Covered Bond market has the potential of adding significant measure of stability to the banking system while becoming an important source of long-term funding for residential and commercial mortgage loans in the United States.
This chapter investigates the buy and sell decisionmaking process for institutional portfolio man... more This chapter investigates the buy and sell decisionmaking process for institutional portfolio managers.
ABSTRACT Traditional methods of estimating market volatility use daily return observations from a... more ABSTRACT Traditional methods of estimating market volatility use daily return observations from a stock index to calculate monthly variance. We break with traditional and estimate stock market volatility using the daily, cross-sectional standard deviation of returns for all firms trading on the New York Stock Exchange and the American Stock Exchange. We find a significantly positive relation between risk and return. Market volatility is estimated to be about half the volatility level previously reported. The intraday, cross-sectional market volatility measure provides findings consistent with risk-return theory.
... More recently, Brennan and Subrahmanyam (1996), Brennan, Chordia, and Subrahmanyam (1998), Da... more ... More recently, Brennan and Subrahmanyam (1996), Brennan, Chordia, and Subrahmanyam (1998), Datar, Naik, and Radcliffe (1998), Chordia, Roll, and Subrahmanyam (2001), Chordia, Subrahmanyam and Anshuman (2001), Huang (2003) and Acharya and Pedersen (2005 ...
ABSTRACT We examine the volatility characteristics of the NYISO Day Ahead and Real Time electrici... more ABSTRACT We examine the volatility characteristics of the NYISO Day Ahead and Real Time electricity markets for peak hours from January 2001 to June 2004. GARCH models are used to study the differences in volatility across zones. We find that price volatility is higher but less persistent in the Real Time market than in the Day Ahead market. Furthermore, we document the importance of transmission congestion and empirically estimate its impact on volatility in electricity prices. We also examine the Day Ahead premium and show how it is related to volatility in Real Time prices. The implications for participants in these markets are discussed.
In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue fo... more In this paper we highlight the salient features of Covered Bonds in relation to MBS, and argue for their introduction to the US market accompanied with the appropriate legislative structure and oversight. The Covered Bond market has the potential of adding significant measure of stability to the banking system while becoming an important source of long-term funding for residential and commercial mortgage loans in the United States.
This chapter investigates the buy and sell decisionmaking process for institutional portfolio man... more This chapter investigates the buy and sell decisionmaking process for institutional portfolio managers.
ABSTRACT Traditional methods of estimating market volatility use daily return observations from a... more ABSTRACT Traditional methods of estimating market volatility use daily return observations from a stock index to calculate monthly variance. We break with traditional and estimate stock market volatility using the daily, cross-sectional standard deviation of returns for all firms trading on the New York Stock Exchange and the American Stock Exchange. We find a significantly positive relation between risk and return. Market volatility is estimated to be about half the volatility level previously reported. The intraday, cross-sectional market volatility measure provides findings consistent with risk-return theory.
... More recently, Brennan and Subrahmanyam (1996), Brennan, Chordia, and Subrahmanyam (1998), Da... more ... More recently, Brennan and Subrahmanyam (1996), Brennan, Chordia, and Subrahmanyam (1998), Datar, Naik, and Radcliffe (1998), Chordia, Roll, and Subrahmanyam (2001), Chordia, Subrahmanyam and Anshuman (2001), Huang (2003) and Acharya and Pedersen (2005 ...
ABSTRACT We examine the volatility characteristics of the NYISO Day Ahead and Real Time electrici... more ABSTRACT We examine the volatility characteristics of the NYISO Day Ahead and Real Time electricity markets for peak hours from January 2001 to June 2004. GARCH models are used to study the differences in volatility across zones. We find that price volatility is higher but less persistent in the Real Time market than in the Day Ahead market. Furthermore, we document the importance of transmission congestion and empirically estimate its impact on volatility in electricity prices. We also examine the Day Ahead premium and show how it is related to volatility in Real Time prices. The implications for participants in these markets are discussed.
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