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Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets
Baruník, Jozef; Kocenda, Evžen - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012052862
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10010531779
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Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
Baruník, Jozef - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012865701
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Non-Standard Errors
Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...
Persistent link: https://www.econbiz.de/10012799753
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Non-Standard Errors
Menkveld, Albert J. - 2021
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...
Persistent link: https://www.econbiz.de/10013312068
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...
Persistent link: https://www.econbiz.de/10010323014
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How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market
Sattarhoff, Cristina; Gronwald, Marc - 2018
This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency … efficiency, the larger the value of the intermittency coefficient is, the more inefficient a market would be. In contrast to … that this market becomes more efficient over time. In addition, the degree of market efficiency is overall similar to that …
Persistent link: https://www.econbiz.de/10011887362
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How prediction markets can save event studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus …
Persistent link: https://www.econbiz.de/10010274808
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Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks
Brož, Václav; Kocenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012799763
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Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks
Brož, Václav; Kočenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10013311710