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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

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

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

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

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

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

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

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

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

Deterministic effects of volatility on mixed frequency GARCH in Means MIDAS model: Evidence from Turkey

Özsoy, Fehmi; Doğan, Nükhet - In: International Econometric Review (IER) 14 (2022) 1, pp. 1-20

GARCH-M MIDAS model. We formulate this model on stock prices and exchange rates, in which long run volatility is driven by …

Persistent link: https://www.econbiz.de/10014518992