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System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of International Money and Finance 48 (2014) PA, pp. 147-174
This paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identification in a bivariate Brownian semimartingale with...
Persistent link: https://www.econbiz.de/10010939657
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The Volatility Spillover from the Market to Disaggregated Industry Stocks: The Case for the US and UK
Moore, Tomoe - In: International Journal of Business and Economics 10 (2011) 1, pp. 61-68
This article empirically investigates the volatility spillover of stock returns from the market to disaggregated industry sectors. Seventeen sectors from the US and UK stock markets are estimated by the GARCH technique based on daily data from 1973 to 2008. The key findings are two-fold. In the...
Persistent link: https://www.econbiz.de/10010598929
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach
Righi, Marcelo Brutti; Ceretta, Paulo Sérgio - In: Economics Bulletin 31 (2011) 2, pp. 1717-1730
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval and IPC from January 2009 to December...
Persistent link: https://www.econbiz.de/10009145651
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ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
BIAN, GUORUI; McALEER, MICHAEL; WONG, WING-KEUNG - In: Annals of Financial Economics (AFE) 08 (2013) 02, pp. 1350007-1
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10010734042
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Arbitrage risk and the turnover anomaly
Chou, Pin-Huang; Huang, Tsung-Yu; Yang, Hung-Jeh - In: Journal of Banking & Finance 37 (2013) 11, pp. 4172-4182
-pricing models, a risk-based liquidity factor, or anomalies such as size, book-to-market ratio, or momentum. Further analysis … arbitrage risk. …
Persistent link: https://www.econbiz.de/10010703237
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A framework for tracking changes in the intensity of investment funds' systemic risk
Jin, Xisong; Nadal De Simone, Francisco - In: Journal of Empirical Finance 29 (2014) C, pp. 343-368
from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology …' systemic credit risk in three forms: (1) credit risk common to all funds within each of the seven categories the Eurosystem … reports to the ECB; (2) credit risk in each category of investment fund conditional on distress on another category of …
Persistent link: https://www.econbiz.de/10011116265
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Measuring the effect of oil prices on wheat futures prices
Cartwright, Phillip A.; Riabko, Natalija - In: Research in International Business and Finance 33 (2015) C, pp. 355-369
This research lends insight into the empirical validity of reverse regressions hypothesizing that spot prices today help to predict forward rates in the future. This paper analyzes the possible relationship between wheat futures prices and spot oil prices considering the importance of the...
Persistent link: https://www.econbiz.de/10011116369
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New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of International Financial Markets, … 33 (2014) C, pp. 299-316
We employ a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to develop trading rules based on a survival of the fittest principle. Employing returns data for the Russell 1000, Russell 2000 and Russell 3000 indices the STGP method produces greater...
Persistent link: https://www.econbiz.de/10011189482
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Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis
Koulakiotis, Athanasios; Babalos, Vasillios; … - In: Economics Letters 127 (2015) C, pp. 58-60
Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...
Persistent link: https://www.econbiz.de/10011189514
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Risk-return characteristics of Islamic equity indices: Multi-timescales analysis
Dewandaru, Ginanjar; Bacha, Obiyathulla Ismath; Masih, … - In: Journal of Multinational Financial Management 29 (2015) C, pp. 115-138
analysing the risk-return characteristics of Islamic indices at different timescales by applying a relatively new approach in … sectors between 2008 and 2012. We focus on exploring the multi-horizon nature of systemic risk (market beta), average return …
Persistent link: https://www.econbiz.de/10011189777