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Correlations across Asia-Pacific bond markets and the impact of capital flow measures
Chantapacdepong, Pornpinun; Shim, Ilhyock - 2014
Persistent link: https://www.econbiz.de/10010495717
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Correlation regimes in international equity and bond returns
Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
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Why Does the Correlation between Stock and Bond Returns Vary Over Time?
Andersson, Magnus - 2011
the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem …, it is found that the stock-bond return correlation is virtually unaffected by economic growth expectations …
Persistent link: https://www.econbiz.de/10013131459
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Reevaluating the Risk Minimization Utility of Islamic Stocks and Bonds (Sukuk) in International Financial Markets
Sifat, Imtiaz; Mohamad, Azhar; Zhang, Heng Chao; … - 2022
We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against …
Persistent link: https://www.econbiz.de/10013305934
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
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Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …
Persistent link: https://www.econbiz.de/10009738265
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10009151649
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Asymptotics of asynchronicity
Bibinger, Markus - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009151650
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The Cross-Section of Individual Equity Option Returns
Shafaati, Mobina; Chance, Don M.; Brooks, Robert - 2022
This paper evaluates the underperformance of individual equity options relative to their replicating portfolios. Considering a high-dimensional set of variables, we use a machine learning approach to identify the characteristics of options and their underlying stocks that provide incremental...
Persistent link: https://www.econbiz.de/10013322614
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Expected Returns and Large Language Models
Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - 2023
We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...
Persistent link: https://www.econbiz.de/10014351081