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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
Persistent link: https://www.econbiz.de/10013094817
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012958874
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012910613
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Why Does Idiosyncratic Risk Increase with Market Risk
Bartram, Söhnke M. - 2017
has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10012950299
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Ben Cheikh, Nidhaleddine - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10012914946
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The Economics of Bitcoins -- Market Characteristics and Price Jumps
Gronwald, Marc - 2015
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10013030485
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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria - 2013
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10013094836
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Sources of Real Exchange Rate Volatility and International Financial Integration : A Dynamic GMM Panel Approach
Caporale, Guglielmo Maria - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …
Persistent link: https://www.econbiz.de/10013117985
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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Commodity Price Volatility, Democracy and Economic Growth
Arezki, Rabah - 2013
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10013092229