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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
allows for asymmetric responses of volatility to stock and currency news, including leverage effects. Our results suggest … that the currency risk is priced in international stock markets, once asymmetries in volatility are taken into account. The …
Persistent link: https://www.econbiz.de/10010284112
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Choosing the best volatility models: The model confidence set approach
Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2003
This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility …. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean …
Persistent link: https://www.econbiz.de/10010318935
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Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models
Hansen, Peter Reinhard; Lunde, Asger - 2003
proxy for σ2t. We show that some commonly used criteria for evaluation of volatility models, may induce a different … provide an additional argument for using intra-day data to approximate σ2t , such as realized volatility. …
Persistent link: https://www.econbiz.de/10010318932
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Dividend momentum and stock return predictability: A Bayesian approach
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...
Persistent link: https://www.econbiz.de/10012819002
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Modelling Inflation in the Euro Area
Jansen, Eilev S. - 2004
The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...
Persistent link: https://www.econbiz.de/10012143624
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Detecting Imbalances in House Prices: What Goes up Must Come Down?
Anundsen, André K. - 2016
With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....
Persistent link: https://www.econbiz.de/10012143889
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Long Memory in the Ukrainian Stock Market and Financial Crises
Caporale, Guglielmo Maria - 2014
This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...
Persistent link: https://www.econbiz.de/10013046301
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …
Persistent link: https://www.econbiz.de/10010282869
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Cointegrated VARMA models and forecasting US interest rates
Kascha, Christian; Trenkler, Carsten - 2011
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10010316827
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Bootstrap joint prediction regions
Wolf, Michael; Wunderli, Dan - 2013
Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the...
Persistent link: https://www.econbiz.de/10010316854