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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - 2004

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

Persistent link: https://www.econbiz.de/10011324953

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

Persistent link: https://www.econbiz.de/10010298390

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …

Persistent link: https://www.econbiz.de/10010298391

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

Persistent link: https://www.econbiz.de/10010281337

How does liquidity react to stress periods in a limit order market?

Beltran, Helena; Durré, Alain; Giot, Pierre - 2004

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

Persistent link: https://www.econbiz.de/10011506571

A high-low model of daily stock price ranges

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10010277079

Structural constant conditional correlation

Weber, Enzo - 2008

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Persistent link: https://www.econbiz.de/10010263718

Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10010263754

Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns

Manera, Matteo; Lanza, Alessandro; McAleer, Michael - 2004

-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of …

Persistent link: https://www.econbiz.de/10011324947

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562