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Measuring financial market integration over the long run : is there a u-shape?
Volosovych, Vadym - 2011
Using long time series for sovereign bond markets of fifteen industrialized economies from 1875 to 2009, I find that financial market integration by the end of the 20th century was higher than in earlier periods and exhibited a J-shaped trend with a trough in the 1920s. The main reason for the...
Persistent link: https://www.econbiz.de/10011382994
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...
Persistent link: https://www.econbiz.de/10011326944
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The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...
Persistent link: https://www.econbiz.de/10010224775
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Estimation risk and shrinkage in vast-dimensional fundamental factor models
Vlodrop, Andries C. van; Lucas, André - 2018
We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental … about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …
Persistent link: https://www.econbiz.de/10011949129
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Stock selection strategies in emerging markets
Hart, Jaap van; Slagter, Erica; Dijk, Dick van - 2001
Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging markets. We confirm these results and extend them in severaldirections. First, we examine a broader range of stock selection strategies, including strategiesbased on analysts'...
Persistent link: https://www.econbiz.de/10011313928
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Heterogeneous macro and financial effects of ECB asset purchase programs
Zwan, Terri van der; Kole, Erik; Wel, Michel van der - 2021
Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...
Persistent link: https://www.econbiz.de/10012795397
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Private and public risk sharing in the Euro area
Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo M. - 2017 - This version: 11 July 2017
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...
Persistent link: https://www.econbiz.de/10011688776
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …
Persistent link: https://www.econbiz.de/10010491085
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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory …
Persistent link: https://www.econbiz.de/10011382070