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The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market

Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37

sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform … 25 March 2022, the first principal component explained 80.83% of the yield curve changes, the first two 91.92%, and the … years increase more than those at 2 years, leading to yield curve steepenings. Interestingly, we observe that the …

Persistent link: https://www.econbiz.de/10013273600

VIX futures as a market timing indicator

Fassas, Athanasios P.; Hourvouliades, Nikolas - In: Journal of risk and financial management : JRFM 12 (2019) 3/113, pp. 1-9

Our work relates to the literature supporting that the VIX also mirrors investor sentiment and, thus, contains useful information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects...

Persistent link: https://www.econbiz.de/10012025298

Bond risk premia and restrictions on risk prices

Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22

Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...

Persistent link: https://www.econbiz.de/10011961381

A divisia user cost interpretation of the yield spread recession prediction

Mattson, Ryan S. - In: Journal of risk and financial management : JRFM 12 (2019) 1/7, pp. 1-9

-evaluate the interpretation and empirical use of the yield spread as a predictor of recessions, focusing on the simplified … Center for Financial Stability, the yield spread is shown to be a form of the user cost difference, and use of the user cost … is shown to marginally improve the predictive abilities of the yield spread. Further research into this view of the link …

Persistent link: https://www.econbiz.de/10011961682

Spreads and volatility in house returns

Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16

Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid-ask spreads for prices and rents. Time series autocovariances generate a distribution of prices and rents. Capital gains and rent-price...

Persistent link: https://www.econbiz.de/10013382201

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

The equity curve and its relation to future stock returns

Stotz, Olaf - In: Journal of risk and financial management : JRFM 13 (2020) 2/19, pp. 1-16

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...

Persistent link: https://www.econbiz.de/10012173992

Spillovers and asset allocation

Lai Trung Hoang; Baur, Dirk G. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-31

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...

Persistent link: https://www.econbiz.de/10012626370

Spillovers of stock markets among the BRICS : new evidence in time and frequency domains before the outbreak of COVID-19 pandemic

Shi, Kai - In: Journal of risk and financial management : JRFM 14 (2021) 3/112, pp. 1-37

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously varying spillover index based on forecasting...

Persistent link: https://www.econbiz.de/10012485149

An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

Persistent link: https://www.econbiz.de/10012388066

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