國立虎尾科技大學 |

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

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives/ by Amia Santini.
作者:	Santini, Amia.
面頁冊數:	VII, 77 p.online resource. :
Contained By:	Springer Nature eBook
標題:	Public Economics. -
電子資源:	https://doi.org/10.1007/978-3-658-37450-1
ISBN:	9783658374501

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

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives[electronic resource] /by Amia Santini. - 1st ed. 2022. - VII, 77 p.online resource. - BestMasters,2625-3615. - BestMasters,.

1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions.

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 the importance 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. About the Author Amia Santini is a PhD student in statistics at the University of Bologna (Italy). Her work focusses on the field of green finance.

ISBN: 9783658374501

Standard No.: 10.1007/978-3-658-37450-1doiSubjects--Topical Terms:

1069070
Public Economics.

LC Class. No.: HJ9-9940

Dewey Class. No.: 336

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
LDR:03146nam a22003975i 4500 001 1094497
003 DE-He213
005 20220503085309.0
007 cr nn 008mamaa
008 221228s2022 gw | s |||| 0|eng d
020 $a 9783658374501 $9 978-3-658-37450-1
024 7 $a 10.1007/978-3-658-37450-1 $2 doi
035 $a 978-3-658-37450-1
050 4 $a HJ9-9940
072 7 $a KNV $2 bicssc
072 7 $a BUS051000 $2 bisacsh
072 7 $a KNV $2 thema
082 0 4 $a 336 $2 23
100 1 $a Santini, Amia. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1402639
245 1 0 $a Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives $h [electronic resource] / $c by Amia Santini.
250 $a 1st ed. 2022.
264 1 $a Wiesbaden : $b Springer Fachmedien Wiesbaden : $b Imprint: Springer Gabler, $c 2022.
300 $a VII, 77 p. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a BestMasters, $x 2625-3615
505 0 $a 1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions.
520 $a 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 the importance 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. About the Author Amia Santini is a PhD student in statistics at the University of Bologna (Italy). Her work focusses on the field of green finance.
650 1 4 $a Public Economics. $3 1069070
650 0 $a Finance, Public. $3 556260
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783658374495
776 0 8 $i Printed edition: $z 9783658374518
830 0 $a BestMasters, $x 2625-3577 $3 1253531
856 4 0 $u https://doi.org/10.1007/978-3-658-37450-1
912 $a ZDB-2-ECF
912 $a ZDB-2-SXEF
950 $a Economics and Finance (SpringerNature-41170)
950 $a Economics and Finance (R0) (SpringerNature-43720)