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Inference on multivariate heteroscedastic time varying random coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015

In this paper we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying coefficients and time-varying conditional variance of the error process. This allows modeling VAR dynamics for non-stationary times series and estimation of time varying...

Persistent link: https://www.econbiz.de/10011405250

Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps … occur around scheduled news releases. However, it is illiquidity rather than the news content that drives jumps. Evidence …

Persistent link: https://www.econbiz.de/10010472845

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....

Persistent link: https://www.econbiz.de/10011438638

Flexibility in the market for international carbon credits and price dynamics difference with European allowances

Gavard, Claire; Kirat, Djamel - 2015

We analyze the price dynamics of European allowances and international carbon credits in the second phase of the European carbon market. We develop and use a model combining fundamental drivers associated with the demand for quotas by installations and risk-return considerations related to the...

Persistent link: https://www.econbiz.de/10010476203

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...

Persistent link: https://www.econbiz.de/10010476423

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10011405221

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

extensive model specification analysis reveals that jumps and a stochastic level of reversion for the variance help reproduce …

Persistent link: https://www.econbiz.de/10011410916

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013258038

Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach

Nguyen, Hoang; Javed, Farrukh - 2021

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Persistent link: https://www.econbiz.de/10012668024

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