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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. …
Persistent link: https://www.econbiz.de/10005207941
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts. …
Persistent link: https://www.econbiz.de/10005652761
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Common Influences, Spillover and Integration in Chinese Stock Markets
Weber, Enzo; Zhang, Yanqun - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10005652745
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Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10008458281
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Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10005677925
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Measuring Connectedness of Euro Area Sovereign Risk
Gätjen, Rebekka; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to \realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10011240325
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Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market
Lütkepohl, Helmut; Netsunajev, Aleksei - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10011145245
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Is There an Asymmetric Impact of Housing on Output?
Lee, Tsung-Hsien Michael; Chen, Wenjuan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
Numerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent....
Persistent link: https://www.econbiz.de/10011252586
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Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10009205034
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Large Vector Auto Regressions
Song, Song; Bickel, Peter J. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
mixture of serial correlation (temporal dynamics), high dimensional (spatial) dependence structure and moderate sample size …
Persistent link: https://www.econbiz.de/10009209822