scholarly journals A Stochastic Gordon-Shapiro Formula with Excess Volatility

2021 ◽  
Author(s):  
Lutz Kruschwitz ◽  
Andreas Loeffler
Keyword(s):  
Excess Volatility

scholarly journals A Study of Excess Volatility of Gold and Silver

2021 ◽  
Author(s):  
Parthajit Kayal ◽  
S. Maheswaran
Keyword(s):  
Excess Volatility

Excess Volatility in Bitcoin: Extreme Value Volatility Estimation

2021 ◽  
pp. 227797522098768
Author(s):  
Parthajit Kayal ◽  
G. Balasubramanian
Keyword(s):  
Investment Decisions ◽  
Extreme Value ◽  
Time Varying ◽  
Price Changes ◽  
Volatility Estimation ◽  
Policy Choices ◽  
Rolling Window ◽  
Excess Volatility ◽  
High Volatility ◽  
Over Time

This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.

scholarly journals Welfare and Excess Volatility of Exchange Rates

2011 ◽  
Author(s):  
Matteo Salto ◽  
Tito Pietra
Keyword(s):  
Exchange Rates ◽  
Excess Volatility

scholarly journals Tâtonnement, Approach to Equilibrium and Excess Volatility in Firm Networks

2020 ◽  
Author(s):  
Théo Dessertaine ◽  
José Moran ◽  
Michael Benzaquen ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Approach To Equilibrium ◽  
Excess Volatility ◽  
Firm Networks

Sunspot Rational Beliefs Structures, Equilibria and Excess Volatility

2007 ◽  
Vol 7 (1) ◽  
Author(s):  
Carsten K Nielsen
Keyword(s):  
Rational Beliefs ◽  
Excess Volatility

Excess Volatility und Informationseffizienz

1998 ◽  
pp. 55-68
Author(s):  
Annemarie Sapusek
Keyword(s):  
Excess Volatility

Excess Volatility Tests

2013 ◽  
Author(s):  
Stephen F. LeRoy
Keyword(s):  
Excess Volatility
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