Stern Center for Research Computing

New York University • Leonard Stern School of Business

Research Projects Supported by SCRC

  • The Impact of Hedging Costs on the Bid and Ask Spread in the Options Market

    Title The Impact of Hedging Costs on the Bid and Ask Spread in the Options Market Authors: Robert Engle and Breno Neri Date: Working Paper, Revised February 3, 2010 Abstract It is well known that the bid and ask spread in the stock market can be decomposed in three components representing the costs of market [...]

  • The Impact of the Federal Reserve’s Interest Rate Target Announcement on Stock Prices: A Closer Look at How the Market Impounds New Information

    Title The Impact of the Federal Reserve’s Interest Rate Target Announcement on Stock Prices: A Closer Look at How the Market Impounds New Information Authors: Justin Birru and Stephen Figlewski Date: Working Paper,Revised Oct. 2010 Abstract The Federal Reserve announces its new interest rate target while the stock market is open, at precisely 2:15 P.M. [...]

  • Volatility, Correlation and Tails for Systemic Risk Measurement

    Title Volatility, Correlation and Tails for Systemic Risk Measurement Authors: Christian T. Brownlees and Robert F. Engle Date: May 2010 Abstract The Great Recession of 2007/2009 has motivated market participants, academics and regulators to better understand systemic risk. Regulation is now designed to reduce systemic risk. However, it is not yet clear how to measure [...]

  • A Practical Guide to Volatility Forecasting through Calm and Storm

    Title A Practical Guide to Volatility Forecasting through Calm and Storm Authors: Christian T. Brownlees, Robert F. Engle, Bryan T. Kelly Date: November 2009 Abstract We present a volatility forecasting comparative study within the ARCH class of models. Our goal is to identify successful predictive models over multiple horizons and to investigate how predictive ability [...]