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Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?

Barunik, Jozef - In: ACTA VSFS 7 (2013) 1, pp. 6-30

estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures … new theoretical framework for the realized covariation estimation generalizing the current knowledge and bringing the … correlation as they have large impact on these measures. Our results have significant economic value as wrong assumption about the …

Persistent link: https://www.econbiz.de/10010860166

ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - Institutionen för Nationalekonomi, Umeå Universitet - 2000

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...

Persistent link: https://www.econbiz.de/10005771222

An Alternative Conditional Asymmetry Specification for Stock Returns

Brännäs, Kurt; Nordman, Niklas - Institutionen för Nationalekonomi, Umeå Universitet - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10005651999

Temporal Aggregation of the Returns of a Stock Index Series

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2003

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies.

Persistent link: https://www.econbiz.de/10005652013

Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013

estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …

Persistent link: https://www.econbiz.de/10011255481

Modeling multivariate parametric densities of financial returns (in Russian)

Balaev, Alexey - In: Quantile (2011) 9, pp. 39-60

This paper compares several bivariate conditional density parameterizations for stock market returns in terms of in-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew-GED and Gram-Charlier densities. We focus on the...

Persistent link: https://www.econbiz.de/10009195298

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015

asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the …

Persistent link: https://www.econbiz.de/10011207425

An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT W...

Kamaruzdin, Thaqif; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014

in correlation to the market implying that IFSIs volatility may be independent of the market due to assets that require …

Persistent link: https://www.econbiz.de/10011113217

Are investments in islamic REITs susceptible to forex uncertainty: wavelet analysis

Mokhtar, Maznita; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013

Since its debut into the islamic capital markets landscape in 2005, islamic Real Estate Investment Trusts (REITs) have not shown significant progress in attracting foreign investment, limiting their potential as the ideal asset class for the Shariah compliant investor. It was suggested that a...

Persistent link: https://www.econbiz.de/10011207083

Matrix Box-Cox Models for Multivariate Realized Volatility

Weigand, Roland - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2014

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Persistent link: https://www.econbiz.de/10010904380

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