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Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021

This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … CBOE FIX VIX index in the 2020 COVID pandemic. In addition, FRM@China uses a single quantile-lasso regression model to …

Persistent link: https://www.econbiz.de/10012745144

A factor analysis approch to measuring European loan and bond market integration

Wagenvoort, Rien; Ebner, André; Morgese Borys, Magdalena - 2009

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...

Persistent link: https://www.econbiz.de/10010427552

Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Persistent link: https://www.econbiz.de/10013199830

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012213531

Gauging risk with higher moments: Handrails in measuring and optimising conditional value at risk

Bugár, Gyöngyi; Maurer, Raimond H.; Vo, Huy Thanh - 2009

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

Persistent link: https://www.econbiz.de/10010275840

Asymmetric volatility spillovers between developed and developing European countries

Bevilacqua, Mattia - 2018

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit among developed European countries and developing Central Eastern European countries in response to political, economic and financial events occurred in the Eurozone in the last...

Persistent link: https://www.econbiz.de/10011942852

Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513

This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and...

Persistent link: https://www.econbiz.de/10011984362

A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2017

This paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a...

Persistent link: https://www.econbiz.de/10011662511

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011843238

Volatility spillover between Germany, France, and CEE stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Journal of Business Economics and Management (JBEM) 23 (2022) 6, pp. 1280-1298

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...

Persistent link: https://www.econbiz.de/10015401288