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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10010326212

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25

As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10012611071

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724823

Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...

Persistent link: https://www.econbiz.de/10011441584

How are VIX and stock index ETF related?

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016

As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...

Persistent link: https://www.econbiz.de/10011441620

Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?

Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...

Persistent link: https://www.econbiz.de/10010503289

CDS Industrial Sector Indices, Credit and Liquidity Risk

Billio, Monica - 2012

This paper studies the risk spillover among US Industrial Sectors and focuses on the connection between credit and liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector Indices depending on common risk factors such as...

Persistent link: https://www.econbiz.de/10013103956

A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index

Allen, David E. - 2019

The paper features an examination of the link between the behaviour of oil prices and DowJones Index in a nonlinear autoregressive distributed lag NARDL framework. The attraction of NARDL is that it represents the simplest method available of modelling combined short- and long-run asymmetries....

Persistent link: https://www.econbiz.de/10012888683

Do We Need Stochastic Volatility and GARCH? Comparing Squared End-of-Day Returns on FTSE

Allen, David E. - 2019

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we use the realized volatility (RV) of FTSE sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models...

Persistent link: https://www.econbiz.de/10012859426