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Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach
Nguyen, Hoang; Javed, Farrukh - 2021
generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between … stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long … proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management …
Persistent link: https://www.econbiz.de/10012654485
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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...
Persistent link: https://www.econbiz.de/10010284112
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-7
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …
Persistent link: https://www.econbiz.de/10012611132
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-9
assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are …
Persistent link: https://www.econbiz.de/10012611137
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Dynamic Correlations and Optimal Hedge Ratios
Bos, Charles S.; Gould, Phillip - 2007
the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the …
Persistent link: https://www.econbiz.de/10010325498
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Intraday volatility, trading volume and trading intensity in the interbank market e-MID
Engler, Markus; Jeleskovic, Vahidin - 2016
We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...
Persistent link: https://www.econbiz.de/10011666920
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10013208704
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Stock market volatility response to COVID-19: Evidence from Thailand
In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...
Persistent link: https://www.econbiz.de/10014332748
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Tran, Minh-Ngoc - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014331159
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Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
van Vlodrop, Andries C.; Lucas, André - 2018
We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...
Persistent link: https://www.econbiz.de/10012114751