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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011755278
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Ten things you should know about the dynamic conditional correlation representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126
extremely small; DCC cannot be distinguished empirically from diagonal Baba, Engle, Kraft and Kroner (BEKK) in small systems … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …
Persistent link: https://www.econbiz.de/10010421297
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A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011755368
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Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232
correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011227996
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Bivariate volatility modeling with high-frequency data
Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics 7 (2019) 3, pp. 1-15
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural relationship between the realized measure...
Persistent link: https://www.econbiz.de/10012696256
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Integration and disintegration of EMU government bond markets
Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - In: Econometrics 9 (2021) 1, pp. 1-17
It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods...
Persistent link: https://www.econbiz.de/10012696318
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics 4 (2016) 1, pp. 1-19
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011755321
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Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...
Persistent link: https://www.econbiz.de/10011755372
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Credible Granger-causality inference with modest sample lengths: A cross-sample validation approach
Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91
Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...
Persistent link: https://www.econbiz.de/10010421306
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … targeting quasi-maximum likelihood estimator for the VT-BEKK model. Monte Carlo experiments show that the bias of the 2sQML … diagonal BEKK or the diagonal RBEKK models. An empirical analysis of the returns of stocks listed on the Dow Jones Industrial …
Persistent link: https://www.econbiz.de/10012696326