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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Hammoudeh, Shawkat; Chang, Chia-Lin; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...
Persistent link: https://www.econbiz.de/10010734035
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Range-based covariance estimation using high-frequency data: The realized co-range
van Dijk, Dick; Bannouh, Bannouh, K.; Martens, Martens, … - Faculteit der Economische Wetenschappen, Erasmus … - 2008
We introduce the realized co-range, utilizing intraday high-low price ranges to estimate asset return covariances. Using simulations we find that for plausible levels of bid-ask bounce and infrequent and non-synchronous trading the realized co-range improves upon the realized covariance, which...
Persistent link: https://www.econbiz.de/10010731850
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A generalized dynamic conditional correlation model for many asset returns
Hafner, Christian Matthias; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003
In this paper we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. The resultant GDCC model is...
Persistent link: https://www.econbiz.de/10010837700
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Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian Matthias; Rombouts, J.V.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...
Persistent link: https://www.econbiz.de/10010837845
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Semiparametric multivariate volatility models
Hafner, Christian Matthias; Rombouts, J.V.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004
regularity conditions the semiparametric efficiency bound can be attained. Without reparametrizing the conditional covariance … efficiency loss of semiparametric estimation with respect to full information maximum likelihood decreases as the dimension … which we also derive the semiparametric efficiency bound and an estimator that attains this bound. A simulation experiment …
Persistent link: https://www.econbiz.de/10010838001
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Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, Christian Matthias; Herwartz, H. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
Quasi maximum likelihood estimation and inference in multivariate volatility models remains a challenging computational task if, for example, the dimension is high. One of the reasons is that typically numerical procedures are used to compute the score and the Hessian, and often they are...
Persistent link: https://www.econbiz.de/10010731894
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Simple approximations for option pricing under mean reversion and stochastic volatility
Hafner, Christian Matthias - Faculteit der Economische Wetenschappen, Erasmus … - 2003
This paper provides simple approximations for evaluating option prices and implied volatilities under stochastic volatility. Simple recursive formulae are derived that can easily be implemented in spreadsheets. The traditional random walk assumption, dominating in the analysis of financial...
Persistent link: https://www.econbiz.de/10010731911
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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use...
Persistent link: https://www.econbiz.de/10010732622
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Pricing default swaps: empirical evidence
Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2003
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10010837767
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Comparing possible proxies of corporate bond liquidity
Houweling, Patrick; Vorst, Ton; Mentink, A.A. - Faculteit der Economische Wetenschappen, Erasmus … - 2003
We consider eight different proxies (issued amount, coupon, listed, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate risk, credit risk, maturity, rating and currency...
Persistent link: https://www.econbiz.de/10010837780