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Testing for Stock Market Contagion: A Quantile Regression Approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - Tinbergen Instituut - 2015
regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of … simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare …
Persistent link: https://www.econbiz.de/10011257623
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Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Tinbergen Instituut - 2014
risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling …
Persistent link: https://www.econbiz.de/10011255921
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 33(11), pp. 1912-1928.<P> This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based...</p></i>
Persistent link: https://www.econbiz.de/10011255525
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A Meta-Analysis of the Equity Premium
Ewijk, Casper van; Groot, Henri L.F. de; Santing, Coos - Tinbergen Instituut - 2010
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....
Persistent link: https://www.econbiz.de/10011257119
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Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Bos, Charles S. - Tinbergen Instituut - 2008
stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10011257300
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Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
Allen, David E.; McAleer, Michael; Singh, Abhay K. - Tinbergen Instituut - 2014
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia...
Persistent link: https://www.econbiz.de/10011272574
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Asymmetric Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011272575
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Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - Tinbergen Instituut - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011272584
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014
effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10011272590
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592