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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Tourism stocks in times of crises : an econometric investigation of non-macro factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical...

Persistent link: https://www.econbiz.de/10011566387

Testing for volatility co-movement in bivariate stochastic volatility models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017

The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...

Persistent link: https://www.econbiz.de/10011602570

Tourism stocks in times of crises : an econometric investigation of unexpected non-macroeconomic factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2017 - Revised: June 2017

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the...

Persistent link: https://www.econbiz.de/10011658758

Testing for a common volatility process and information spillovers in bivariate financial time series models

Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2016 - Revised: February 2016

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

Persistent link: https://www.econbiz.de/10011441709

Gold against the machine

Plakandaras, Vasilios; Gkonkas, Periklēs; … - In: Computational economics 57 (2021) 1, pp. 5-28

Persistent link: https://www.econbiz.de/10012486908

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011553303

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011590424

Yield curve and recession forecasting in a Machine Learning framework

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Computational economics 45 (2015) 4, pp. 635-645

Persistent link: https://www.econbiz.de/10011440977

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876