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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and …
Persistent link: https://www.econbiz.de/10012520275
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Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns
Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13
suggests the misspecification of the underlying factor model, typically the Fama-French model. By drawing upon recent panel …
Persistent link: https://www.econbiz.de/10012022242
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Models for expected returns with statistical factors
Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...
Persistent link: https://www.econbiz.de/10012392578
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Clustering of extremes in financial returns : a study of developed and emerging markets
Alokley, Sara Ali; Albarrak, Mansour Saleh - In: Journal of risk and financial management : JRFM 13 (2020) 7/141, pp. 1-11
This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index … value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method … clustering occurs in the emerging and developed markets under several threshold values. This study will shed light on the …
Persistent link: https://www.econbiz.de/10012309278
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Systemic risk indicators based on nonlinear PolyModel
Ye, Xingxing; Douady, Raphaël - In: Journal of risk and financial management : JRFM 12 (2019) 1/2, pp. 1-24
The global financial market has become extremely interconnected as it demonstrates strong nonlinear contagion in times of crisis. As a result, it is necessary to measure financial systemic risk in a comprehensive and nonlinear approach. By establishing a large set of risk factors as the main...
Persistent link: https://www.econbiz.de/10011961709
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The spillover of inflation among the G7 countries
Istiak, Khandokar; Tiwari, Aviral Kumar; Husain, Humaira; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-20
Many global shocks, including the renegotiation of NAFTA, the United States-China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation...
Persistent link: https://www.econbiz.de/10012627127
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Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
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Nonlinear time series modeling : a unified perspective, algorithm and application
Mukhopadhyay, Subhadeep; Parzen, Emanuel - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-17
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution-based Legendre Polynomial (LP)-like nonlinear transformations of the original time series {Y(t)} that enable us to adapt all the...
Persistent link: https://www.econbiz.de/10011895744
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How to explain when the es is lower than one? : a Bayesian nonlinear mixed-effects approach
Nguyen Ngoc Thach - In: Journal of risk and financial management : JRFM 13 (2020) 2/21, pp. 1-17
Most studies in Vietnam use the Cobb-Douglas production function and its modifications for economic analysis. Extremely rigid presumptions are a main weak point of this functional form, particularly if the elasticity of factor substitution (ES) is equal to one, which hides the role of the ES for...
Persistent link: https://www.econbiz.de/10012173988
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A Bayesian semiparametric realized stochastic volatility model
Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...
Persistent link: https://www.econbiz.de/10012800257