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The role of foreign investors and local agents in the derivatives market and their impact on the exchange rate in Colombia: A wavelet analysis

Gamboa-Estrada, Fredy - 2023

Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...

Persistent link: https://www.econbiz.de/10014374742

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012179799

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks 6 (2018) 4, pp. 1-18

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

Persistent link: https://www.econbiz.de/10011996648

From transition to competition: dynamic efficiency analysis of Polish electricity distribution companies

Cullmann, Astrid; von Hirschhausen, Christian R. - 2007

In this paper we test the hypothesis that the economic transition toward a market economy increases the efficiency of firms. We study 32 Polish electricity distribution companies between 1997-2002, by applying common benchmarking methods to the panel: the nonparametric data envelopment analysis...

Persistent link: https://www.econbiz.de/10010274284

Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …

Persistent link: https://www.econbiz.de/10011451531

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10013432955

The assessment of climate risk impact on the economy: A panel data approach

Barbu, Teodora Cristina; Cepoi, Cosmin-Octavian; … - In: Amfiteatru Economic Journal 24 (2022) 61, pp. 597-612

In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree … as a percentage of GDP. Moreover, the climate risk leads to an increase in sovereign risk only across inferior quantiles … competitiveness of a country is influenced to a small extent by the level of climate risk. This could be a consequence of concerns …

Persistent link: https://www.econbiz.de/10014461978

On causal networks of financial firms: Structural identification via non-parametric heteroskedasticity

Hipp, Ruben - 2020

We investigate the causal structure of financial systems by accounting for contemporaneous relationships. To identify structural parameters, we introduce a novel non-parametric approach that exploits the fact that most financial data empirically exhibit heteroskedasticity. The identification...

Persistent link: https://www.econbiz.de/10012619592

Density forecasting for electricity prices under tail heterogeneity with the t-Riesz distribution

Opschoor, Anne; Peerlings, Dewi; Rossini, Luca; Lucas, … - 2024

. Finally, portfolio Value-at-Risk forecasts during the central hours of the day improve during crisis periods compared to the …

Persistent link: https://www.econbiz.de/10015045988

Threshold bipower variation and the impact of jumps on volatility forecasting

Corsi, Fulvio; Pirino, Davide; Reno, Roberto - 2010

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and discontinuous component using estimators which are not...

Persistent link: https://www.econbiz.de/10010328432