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DOW effects in returns and in volatility of stock markets during quiet and turbulent times
Dumitriu, Ramona; Stefanescu, Razvan - Volkswirtschaftliche Fakultät, … - 2013
volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … radical decline occurred for the day of the week effects in volatility. In the case of indexes from the emerging markets, the …
Persistent link: https://www.econbiz.de/10011260351
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The Analysis of the Bucharest Stock Exchange Financial Sector
Dima, Bogdan; Pirtea, Marilen; Barna, Flavia; Murgea, Aurora - Volkswirtschaftliche Fakultät, … - 2007
, informational efficiency and volatility, synthesised by the index’s dynamic. This paper is oriented on the financial sector of the … the other indexes. Also some important mutations of the BET-FI short term volatility are registered …
Persistent link: https://www.econbiz.de/10005789500
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On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
estimation of Gross Domestic Product by the Swiss National Bank. Applying the integrative thinking principles, we developed the …
Persistent link: https://www.econbiz.de/10011258833
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Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 1998
by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … hypothesis that negative return shocks cause higher volatility than positive return shocks at the Istanbul Stock Exchange. …
Persistent link: https://www.econbiz.de/10011108476
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Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
Albis, Manuel Leonard F.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2014
The estimated Vector AutoRegressive (VAR) model is sensitive to model misspecifications, such as omitted variables, incorrect lag-length, and excluded moving average terms, which results in biased and inconsistent parameter estimates. Furthermore, the symmetric VAR model is more likely...
Persistent link: https://www.econbiz.de/10011108500
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Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
Conditional VaR estimation. Three different market capitalized indices S&P BSE Sensex, BSE Mid cap and BSE Small cap indices have …
Persistent link: https://www.econbiz.de/10011109117
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Dynamic modeling of commodity futures prices
Karapanagiotidis, Paul - Volkswirtschaftliche Fakultät, … - 2014
/noncausal model is more representative of the data according to the Kullback-Leibler measure. Moreover, these estimation results …
Persistent link: https://www.econbiz.de/10011110109
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Qualitative variables and their reduction possibility. Application to time series models
Ciuiu, Daniel - Volkswirtschaftliche Fakultät, … - 2013
In this paper we will study the influence of qualitative variables on the unit root tests for stationarity. For the linear regressions involved the implied assumption is that they are not influenced by such qualitative variables. For this reason, after we have introduced such variables, we...
Persistent link: https://www.econbiz.de/10011110957
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Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
Caporin, Massimiliano; Jimenez-Martin, Juan-Angel; … - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10011111346
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Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model
Mapa, Dennis S.; Paz, Nino Joseph I.; Eustaquio, John D.; … - Volkswirtschaftliche Fakultät, … - 2014
other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities …
Persistent link: https://www.econbiz.de/10011111824