| 书目名称 | Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ | | 编辑 | Amia Santini | | 视频video | | | 丛书名称 | BestMasters | | 图书封面 |  | | 描述 | 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 mai | | 出版日期 | Book 2022 | | 关键词 | derivatives; risk-neutral measure; natural expectations; excess volatility; eurozone; rational expectatio | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-658-37450-1 | | isbn_softcover | 978-3-658-37449-5 | | isbn_ebook | 978-3-658-37450-1Series ISSN 2625-3577 Series E-ISSN 2625-3615 | | issn_series | 2625-3577 | | copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wies |
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书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ影响因子(影响力)
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ影响因子(影响力)学科排名
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ网络公开度
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ网络公开度学科排名
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ被引频次
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ被引频次学科排名
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ年度引用
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ年度引用学科排名
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ读者反馈
书目名称Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivativ读者反馈学科排名
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发表于 2025-3-21 17:04:07
