Search Results - subject:"volatility regimes"

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial Innovation 7 (2021) 1, pp. 1-24

results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak …The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility … regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime …

Persistent link: https://www.econbiz.de/10012602887

Regime specific spillover across cryptocurrencies and the role of COVID-19

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; … - In: Financial innovation : FIN 7 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012418495

Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach

Kulikov, Dmitry; Netšunajev, Aleksei - Eesti Pank - 2013

sufficient statistical information in the data, the distinct volatility regimes of the errors allow all the structural SVAR …

Persistent link: https://www.econbiz.de/10011277946

Testing the covariance stationarity of CEE stocks

Lyócsa, Štefan; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2012

This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance stationary. Using the Pagan – Schwert (1990) and Loretan – Phillips (1994) testing procedures, we show that contrary to the widely accepted assumption of covariance...

Persistent link: https://www.econbiz.de/10011259974

VOLATILITY REGIMES FOR THE VIX INDEX

ROMO, JACINTO MARABEL - In: Revista de Economia Aplicada 20 (2012) 2, pp. 111-134

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the...

Persistent link: https://www.econbiz.de/10010659458

Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group

Baumöhl, Eduard; Lyócsa, Štefan; Výrost, Tomáš - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 6, pp. 530-544

endogenously identifying their volatility regimes. In the course of their analysis, they show the difficulties in the handling of …

Persistent link: https://www.econbiz.de/10009645288

Markov-switching Asset Allocation: Do Profitable Strategies Exist?

Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010

This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...

Persistent link: https://www.econbiz.de/10008592944

Detecting Regime Shifts in Corporate Credit Spreads

Dionne, Georges; François, Pascal; Chun, Olfa Maalaoui - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

Using an innovative random regime shift detection methodology, we identify and confirm two distinct regime types in the dynamics of credit spreads: a level regime and a volatility regime. The level regime is long lived and shown to be linked to Federal Reserve policy and credit market...

Persistent link: https://www.econbiz.de/10008528553

Regime Switching: Italian Financial Markets over a Century

Velucchi, Margherita - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

represented by different volatility regimes. We find that volatility regimes exist; that Banking sector has a central role and …

Persistent link: https://www.econbiz.de/10005687785

Asymmetries and Volatility Regimes in the European Equity Markets

Alexandra, Carol; Lazar, Emese - Henley Business School, University of Reading - 2005

This paper provides and empirical examination of four European equity indices between 1991 and 2005. We investigate the ability of fifteen different GARCH models to capture the characteristics of historical daily returns effectively and generate realistic implied volatility skews. Using many...

Persistent link: https://www.econbiz.de/10005357660