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Modelling Long-Run Trends and Cycles in Financial Time Series Data

Caporale, Guglielmo Maria - 2013

This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

Persistent link: https://www.econbiz.de/10012753579

Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange

Caporale, Guglielmo Maria; Philippas, Nikolaos; … - In: Economics Bulletin 7 (2008) 17, pp. 1-13

This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of...

Persistent link: https://www.econbiz.de/10010630026

Quoted spreads and trade imbalance dynamics in the European Treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 173-182

(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …

Persistent link: https://www.econbiz.de/10010571836

Bank Lending Procyclicality and Credit Quality during Financial Crises

Caporale, Guglielmo Maria; Colli, Stefano Di; Lopez, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...

Persistent link: https://www.econbiz.de/10010783998

Dynamic risk exposures in hedge funds

Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3517-3532

A regime-switching beta model is proposed to measure dynamic risk exposures of hedge funds to various risk factors … low, S&P 500, Small–Large, Credit Spread, and VIX are common risk factors for most of the hedge fund strategies. This …

Persistent link: https://www.econbiz.de/10010617668

Crises and Hedge Fund Risk

Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - School of Management, Yale University - 2008

We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic … and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on … in a crisis state) most strategies are negatively and significantly exposed to the Large-Small and Credit Spread risk …

Persistent link: https://www.econbiz.de/10008852979