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Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach

Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...

Persistent link: https://www.econbiz.de/10012626221

Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...

Persistent link: https://www.econbiz.de/10011855291

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries

Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-22

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The...

Persistent link: https://www.econbiz.de/10013161740

Predicting currency crises : a novel approach combining random forests and wavelet transform

Xu, Lei; Kinkyō, Takuji; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-11

We propose a novel approach that combines random forests and the wavelet transform to model the prediction of currency crises. Our classification model of random forests, built using both standard predictors and wavelet predictors, and obtained from the wavelet transform, achieves a demonstrably...

Persistent link: https://www.econbiz.de/10011960412

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...

Persistent link: https://www.econbiz.de/10013375264

Recent patterns of economic alignment in the European (Monetary) Union

Gehringer, Agnieszka; König, Jörg - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-23

This paper studies the process of business cycle synchronization in the European Union and the euro area. As our … in the core and peripheral members of the euro area. Our analysis of quarterly data covering the first two decades of the … euro area shows that there was a certain synchronization tendency in the first years of the common currency. However, the …

Persistent link: https://www.econbiz.de/10012626655

China's stock market integration with a leading power and a close neighbor

Zheng, Yi; Heng, Chen; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 38-74

Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world, China’s stock market has continued gaining...

Persistent link: https://www.econbiz.de/10011556100

Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets

Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-12

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects in portfolio selection can enhance portfolio performance over time. Using data on CESEE stock market...

Persistent link: https://www.econbiz.de/10012626748

From big data to econophysics and its use to explain complex phenomena

Ferreira, Paulo; Pereira, Eder Johnson de Area Leão; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/153, pp. 1-10

Big data has become a very frequent research topic, due to the increase in data availability. In this introductory paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data and deals with complex systems. Different approaches such...

Persistent link: https://www.econbiz.de/10012309347