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Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524

Clustering and Mean Reversion in a Hawkes Microstructure Model

Da Fonseca, José - 2015

This paper provides explicit formulas for the first and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the affine property of this process. We unify the stock price models...

Persistent link: https://www.econbiz.de/10013033764

The volatility of capital flows in emerging markets measures and determinants

Pagliari, Maria Sole; Ahmed Hannan, Swarnali - 2017 - This draft: October 2017

Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 33 emerging markets and developing economies over the period 1970Q1-2016Q4, we...

Persistent link: https://www.econbiz.de/10011771576

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

Persistent link: https://www.econbiz.de/10013066427

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Estimating and Testing Long-Run Risk Models : International Evidence

Fulop, Andras; Li, Junye; Liu, Hening; Yan, Cheng - 2021

-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference. Our estimation …

Persistent link: https://www.econbiz.de/10013225797

Global food prices and inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural...

Persistent link: https://www.econbiz.de/10014490903

Time-varying granger causality tests for applications in global crude oil markets : a study on the DCC-MGARCH Hong test

Caporina, Massimiliano; Costola, Michele - 2021

Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...

Persistent link: https://www.econbiz.de/10012643850

Effect of the U.S.–China Trade War on Stock Markets : A Financial Contagion Perspective

Oh, Minseog; Kim, Donggyu - 2022

In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock markets, we develop a novel jump-diffusion process....

Persistent link: https://www.econbiz.de/10013307247

Time Varying Hierarchical Archimedean Copulae

Härdle, Wolfgang - 2017

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the …

Persistent link: https://www.econbiz.de/10012966304