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Long memory, realized volatility and HAR models
Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Exchange rate depreciations and local business cycles : the role of bank loan supply
Beck, Thorsten; Bednarek, Peter; Kaat, Daniel Marcel te; … - 2021
This paper uses matched bank-firm-level data and the 2014 depreciation of the euro to show that exchange rate depreciations lead to increased bank loan supply of large banks with significant net foreign asset exposure. This increase in lending can be explained by a shift in credit towards both...
Persistent link: https://www.econbiz.de/10012792736
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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American …
Persistent link: https://www.econbiz.de/10014495999
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Financial Implications of the EU Emission Trading System : an analysis of wavelet coherence and volatility spillovers
De Ponti, Pietro; Romagnoli, Matteo - 2022
volatilities, we first discuss the evolution of the volatility of EU ETS allowances' returns from 2008 to 2021. Second, we study … the degree of co-movement and interdependence between the EU ETS returns' volatility and those of 37 large companies in … industries subject to the System; to this end, we employWavelet Coherence and Volatility Spillovers Analyses. Despite spotting …
Persistent link: https://www.econbiz.de/10013361266
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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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A comparison of spillover effects before, during and after the 2008 financial crisis
Rea, Alethea; Rea, William; Reale, Marco; Scarrott, Carl - 2012
Persistent link: https://www.econbiz.de/10009562986
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Integrated ARCH, FIGARCH and AR models : origins of long memory
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...
Persistent link: https://www.econbiz.de/10011405303
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Semiparametric detection of changes in long range dependence
Iacone, Fabrizio; Lazarová, Stěpána - 2017
We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only...
Persistent link: https://www.econbiz.de/10011756088