Similar Search Results

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

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

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

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

Understanding dynamic conditional correlations between commodities futures markets

Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...

Persistent link: https://www.econbiz.de/10011451631

Macroeconomic and financial effects of oil price shocks : evidence for the Euro area

Morana, Claudio - 2016

The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not...

Persistent link: https://www.econbiz.de/10011451685

Modelling dynamic conditional correlations in WTI oil forward and futures returns

Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004

This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...

Persistent link: https://www.econbiz.de/10011602832

Temperature anomalies, radiative forcing and ENSO

Morana, Claudio; Sbrana, Giacomo - 2017

The paper investigates the linkages between temperature anomalies, radiative forcing and ENSO. By means of a new flexible trend modeling approach, we uncover a nonlinear linkage between radiative forcing and global temperature anomalies. The nonlinear trend closely tracks the low frequency...

Persistent link: https://www.econbiz.de/10011614201

Volatility co-movement and the great moderation : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...

Persistent link: https://www.econbiz.de/10011554403

STAR-GARCH models for stock market interactions in the Pacific Basin region, Japan and US

Busetti, Giorgio; Manera, Matteo - 2003

We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in...

Persistent link: https://www.econbiz.de/10011591386

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754

Optimal pairs trading strategies in a cointegration framework

Huang, Zhe; Martin, Franck - 2017

Persistent link: https://www.econbiz.de/10011713000

Integrated ARCH, FIGARCH and AR models : origins of long memory

Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature … exist. Since ARCH models with non-zero intercept have a unique stationary solution and exclude long memory, the existence of …

Persistent link: https://www.econbiz.de/10011405303