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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - Tinbergen Instituut - 2013

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...

Persistent link: https://www.econbiz.de/10011256497

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013

-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …

Persistent link: https://www.econbiz.de/10011256696

Optimal Hedging with the Vector Autoregressive Model

Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the hedged...

Persistent link: https://www.econbiz.de/10011257633

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

Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10011272594

Capital Structure Arbitrage revisited

Wojtowicz, Marcin - Tinbergen Instituut - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive annualized return of 24.35% on invested capital....

Persistent link: https://www.econbiz.de/10011255777

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Instituut - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10011256330

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …

Persistent link: https://www.econbiz.de/10011256871

Need for Speed? Exchange Latency and Liquidity

Menkveld, Albert J.; Zoican, Marius A. - Tinbergen Instituut - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

Persistent link: https://www.econbiz.de/10011257025

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Instituut - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Persistent link: https://www.econbiz.de/10011257504

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