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Dynamic DeFi-G7 stock markets interactions and their potential role in diversifying and hedging strategies

Esparcia, Carlos; Fakhfakh, Tarek; Jareño, Francisco; … - In: Financial innovation : FIN 10 (2024), pp. 1-26

conditional correlation (DCC)-GARCH model to assess the bivariate correlation structure between each DeFi and ETF pair. The …. Our results also reveal a weak positive correlation between most DeFi and ETF pairs and positive hedge ratios that …

Persistent link: https://www.econbiz.de/10015361554

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

conventional estimation methods. In this study, the new method outperforms its unsmoothed competitors with respect to the variance …

Persistent link: https://www.econbiz.de/10012312096

What are the main factors driving behind the MENA countries current account deficit? : A panel logit approach analysis

Guellil, Mohammed Seghir; Hassoun, Salah Eddine Sari; … - In: Revista de métodos cuantitativos para la economía y … 33 (2022), pp. 134-153

The sustained current account deficit in any country has an important implication for policy. If it continues, then it suggests that the regime ought to have no motivation to avoid or to diminish its international debt. In this paper, we test empirically the relationship among current account...

Persistent link: https://www.econbiz.de/10013337861

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

Persistent link: https://www.econbiz.de/10012887711

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

Persistent link: https://www.econbiz.de/10013459316

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

Persistent link: https://www.econbiz.de/10014281494

On the asymptotic distribution of ridge regression estimators using training and test samples

Sengupta, Nandana; Sowell, Fallaw - In: Econometrics : open access journal 8 (2020) 4/39, pp. 1-25

characteristics of the sampling distributions and when this ridge estimator performs better than two-stage least squares. An empirical …

Persistent link: https://www.econbiz.de/10012312086

Efficient bias correction for cross-section and panel data

Hahn, Jinyong; Hughes, David W.; Kuersteiner, Guido M.; … - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 783-816

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higherorder variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is...

Persistent link: https://www.econbiz.de/10015053878

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel regulations, we address the issue of VaR backtesting and...

Persistent link: https://www.econbiz.de/10012487146