Similar Search Results

One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Kaiser, Thomas - EconWPA - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10005407963

Structural versus Temporary Drivers of Country and Industry Risk

Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005

over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total … (negative) effect of the structural factors on country betas (country-specific volatility), especially in Europe, while industry …

Persistent link: https://www.econbiz.de/10005408196

Correlation Dynamics in European Equity Markets

Kearney, Colm; Poti, Valerio - EconWPA - 2005

estimation methodologies,including estimation of the conditional correlations using the symmetric and asymmetric DCC …

Persistent link: https://www.econbiz.de/10005413082

Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques

Mergner, Sascha - EconWPA - 2005

stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …

Persistent link: https://www.econbiz.de/10005076972

Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques

Mergner, Sascha; Bulla, Jan - EconWPA - 2005

are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …

Persistent link: https://www.econbiz.de/10005077020

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

Hayette, Gatfaoui - EconWPA - 2004

implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic … the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly …

Persistent link: https://www.econbiz.de/10005561708

Substitution, Risk Aversion, Taste Shocks and Equity Premia

Normandin, Michel; St-Amour, Pascal - EconWPA - 1996

This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state- and time-non separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks...

Persistent link: https://www.econbiz.de/10005561766

A SETAR model with long-memory dynamics

DUFRENOT, Gilles; GUEGAN, Dominique; PEGUIN-FEISSOLLE, Anne - EconWPA - 2003

This paper presents a 2-regime SETAR model where the process under examination is governed by a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and methods for locating the threshold parameter are proposed. Such a...

Persistent link: https://www.econbiz.de/10005119075

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … standard deviation of the sample is 35% while the sample standard deviation estimate is a mere 19%. Over-estimation of the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead …

Persistent link: https://www.econbiz.de/10005407908

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

Persistent link: https://www.econbiz.de/10005556399