Narrow search
Showing 1 - 10 of 33,068
Cover Image
On the links between stock and commodity markets' volatility
Joëts, Marc; Mignon, Valérie; Creti, Anna - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010992390
Cover Image
On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Université Paris-Dauphine (Paris IX) - 2013
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011265523
Cover Image
On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - Centre d'études prospectives et d'informations … - 2012
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10010604039
Cover Image
On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy Economics 37 (2013) C, pp. 16-28
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011039549
Cover Image
On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
Mazur, Błażej; Pipień, Mateusz - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 95-116
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year …-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH. …
Persistent link: https://www.econbiz.de/10010875622
Cover Image
On the empirical importance of periodicity in the volatility of financial time series
Pipień, Mateusz; Mazur, Blazej - Narodowy Bank Polski - 2012
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index. …
Persistent link: https://www.econbiz.de/10010583583
Cover Image
Business Cycle and Stock Market Volatility : Are They Related?
Casarin, Roberto - 2008
We investigate the latent volatility structures of the fluctuations in the US business cycle and stock market … valuations. The technical novelty of this work lies in the estimation of a Markov-switching stochastic-volatility model that … macroeconomic and financial indicators following common volatility patterns,with a switch to lower variability occurring in the …
Persistent link: https://www.econbiz.de/10012727190
Cover Image
Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013
specifications including a GARCH specification for the conditional variance of volatility. …
Persistent link: https://www.econbiz.de/10010851215
Cover Image
Extreme-quantile tracking for financial time series
CHAVEZ-DEMOULIN, Valérie; Embrechts, Paul; Sardy, Sylvain
Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility … of the classical Peaks-Over-Threshold method to fit the time varying volatility in situations where the stationarity …
Persistent link: https://www.econbiz.de/10010550297
Cover Image
Real Time Detection of Structural Breaks in GARCH Models
He, Zhongfang; Maheu, John M - University of Toronto, Department of Economics - 2008
This paper proposes a sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks. We use particle filtering techniques that allow for fast and efficient updates of posterior quantities and forecasts in real-time. The method conveniently deals with...
Persistent link: https://www.econbiz.de/10005827237