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Stressing correlations and volatilities — A consistent modeling approach
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of Empirical Finance 21 (2013) C, pp. 174-194
We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...
Persistent link: https://www.econbiz.de/10011042126
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How past market movements affect correlation and volatility
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of International Money and Finance 50 (2015) C, pp. 78-107
perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …
Persistent link: https://www.econbiz.de/10011116929
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Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach
Rincón, Carlos Eduardo Léon; Leiton, Karen Juliet; … - BANCO DE LA REPÚBLICA - 2013
Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …
Persistent link: https://www.econbiz.de/10010763696
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Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach
Rincón, Carlos Eduardo León; Leiton, Karen Julieth; … - Banco de la Republica de Colombia - 2013
Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …
Persistent link: https://www.econbiz.de/10010906065
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Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns
HOESLI, Martin; REKA, Kustrim
studied (both with unhedged and hedged currency risk strategies). We examine the volatility transmissions and the conditional …
Persistent link: https://www.econbiz.de/10008922919
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Volume and Skewness Analysis in the Major Latin American Stock Markets
Kristjanpoller, Werner; Caballero, Víctor - In: Lecturas de Economía (2012) 76, pp. 119-141
The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational...
Persistent link: https://www.econbiz.de/10010692905
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Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets
Ben Sita, Bernard; Abdallah, Wissam - In: Journal of International Financial Markets, … 33 (2014) C, pp. 183-199
We investigate how idiosyncratic and systematic effects impact the volatility risk of U.K. cross-listed stocks. Under … the hypothesis that more stock followers enhance information effects on volatility, we examine whether variation in … volatility of a cross-listed stock has in a bivariate setting two edges. We establish a two-dimensional volatility variation of …
Persistent link: https://www.econbiz.de/10011189486
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Dynamic Spillover Effects in Futures Markets
Antonakakis, Nikolaos; Kizys, Renatas; Floros, Christos - Volkswirtschaftliche Fakultät, … - 2014
study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …
Persistent link: https://www.econbiz.de/10011111958
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Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Volkswirtschaftliche Fakultät, … - 2014
volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …
Persistent link: https://www.econbiz.de/10011112400
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Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach
Valadkhani, Abbas; O'Brien, Martin; Karunanayake, Indika - School of Accounting, Economics, and Finance, … - 2009
existence of significant volatility and cross volatility spillovers across all four markets. Given a high degree of common time …-varying co-volatility among these four countries, investors will be highly unlikely to benefit a reduction of risk if they …
Persistent link: https://www.econbiz.de/10008558633