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Gold, Oil, and Stocks: Dynamic Correlations

Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10011272625

A simple test for GARCH against a stochastic volatility

Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …

Persistent link: https://www.econbiz.de/10005696115

Global Business Cycles and Credit Risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - CESifo - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10005765811

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - CESifo - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10005766168