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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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Practical Volatility and Correlation Modeling for Financial Market Risk Management
Andersen, Torben G. - 2005
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...
Persistent link: https://www.econbiz.de/10012467618
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Alternative Models For Conditional Stock Volatility
Pagan, Adrian R. - 1989
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry …
Persistent link: https://www.econbiz.de/10012476093
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth A. - 1987
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012476706
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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10012459606
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The Macroeconomic Effects of Oil Shocks : Why are the 2000s So Different from the 1970s?
Blanchard, Olivier J. - 2007
We characterize the macroeconomic performance of a set of industrialized economies in the aftermath of the oil price shocks of the 1970s and of the last decade, focusing on the differences across episodes. We examine four different hypotheses for the mild effects on inflation and economic...
Persistent link: https://www.econbiz.de/10012465282
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Identification through Heteroskedasticity : Measuring "Contagion
Rigobon, Roberto - 2000
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012471283
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Unit Roots, Postwar Slowdowns and Long-Run Growth : Evidence from Two Structural Breaks
Ben-David, Dan - 1998
This paper provides evidence on the unit root hypothesis and long-term growth by allowing for two structural breaks. We reject the unit root hypothesis for three-quarters of the countries approximately 50% more rejections than in models that allow for only one break. While about half of the...
Persistent link: https://www.econbiz.de/10012472411
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Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Cheng, Xu - 2014
In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...
Persistent link: https://www.econbiz.de/10012458871
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Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes
Frankel, Jeffrey A.; Hou, Yao; Xie, Danxia - National Bureau of Economic Research - 2024
regimes. We pay particular attention to the BBC and offer a new approach to parameter estimation by utilizing a three …
Persistent link: https://www.econbiz.de/10014635607