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Asymmetry in Tail Dependence of Equity Portfolios
Jondeau, Eric - National Centre of Competence in Research - Financial … - 2010
In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....
Persistent link: https://www.econbiz.de/10009487001
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On the Existence of theMoments of the AsymptoticTrace Statistic
Karaman Örsal, Deniz Dilan; Droge, Bernd - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....
Persistent link: https://www.econbiz.de/10008939788
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Bootstrapping Systems Cointegration Tests with a Prior Adjustment forDeterministic Terms
Trenkler, Carsten - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10005861697
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The Power of the KPSS-Test for Cointegrationwhen Residuals are Fractionally Integrated
Sibbertsen, Philipp; Krämer, Walter - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2005
We show that the power of the KPSS-test against inte-gration, as measured by divergence rates of the test statistic underthe alternative, remains the same when residuals from an OLS-regression rather than true observations are used.[...]
Persistent link: https://www.econbiz.de/10005867590
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European Securitisation: A GARCH Model of CDO, MBS and Pfandbrief Spreads
Jobst, Andreas - 2003
reversion.Furthermore, spread volatility (conditional variance) is found to follow anasymmetric stochastic process contingent on …
Persistent link: https://www.econbiz.de/10005844580
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Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
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Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-stationary Return Series Model
Gürtler, Marc; Rauh, Ronald - Institut für Finanzwirtschaft <Braunschweig> - 2009
identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein volatility …
Persistent link: https://www.econbiz.de/10005869539
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …
Persistent link: https://www.econbiz.de/10009305103
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Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?
Cappiello, Lorenzo - 2000
This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).
Persistent link: https://www.econbiz.de/10005843151
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Modeling the link between US inflation and output: the importance of the uncertainty channel
Conrad, Christian; Karanasos, Menelaos - Alfred-Weber-Institut für Sozial- und …; … - 2010
This paper employs an augmented version of the UECCC GARCH specificationproposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects,level effects as well as asymmetries in the conditional variances. In this unifiedframework we examine the twelve potential intertemporal...
Persistent link: https://www.econbiz.de/10009248990