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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10011272625
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Gold, Oil, and Stocks : Dynamic Correlations
Baruník, Jozef - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10013023110
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Forecasting Exchange Rates : An Investor Perspective
Melvin, Michael - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10013081705
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10012954361
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Asymmetric Connectedness on the U.S. Stock Market : Bad and Good Volatility Spillovers
Baruník, Jozef - 2015
. 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 spillovers of bad and good volatility are transmitted at different magnitudes … not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased …
Persistent link: https://www.econbiz.de/10013023200
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A Neglected Semi-Stylized Fact of Daily Stock Returns
Kraemer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10012994582
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Forecasting Exchange Rates: An Investor Perspective
Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10010659187
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
. 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 spillovers of bad and good volatility are transmitted at different magnitudes … not strictly dominate positive spillovers. We find that the overall intra-market connectedness of U.S. stocks increased …
Persistent link: https://www.econbiz.de/10011257668
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Stylized Facts and Simulating Long Range Financial Data
Davies, Laurie - 2016
We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...
Persistent link: https://www.econbiz.de/10012994786
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Investor Protection and Foreign Stakeholders
Giofré, Maela - 2014
Different investor classes are endowed with different rights, and conflicting interests among them can make protections afforded to one party detrimental to another. Indeed, we find that investor protection laws have sizeable "cross" effects on foreign portfolio investment and the direction of...
Persistent link: https://www.econbiz.de/10013069664