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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - 2004
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...
Persistent link: https://www.econbiz.de/10011324953
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How does liquidity react to stress periods in a limit order market?
Beltran, Helena; Durré, Alain; Giot, Pierre - 2004
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011506571
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A high-low model of daily stock price ranges
Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10010277079
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Asymmetric multivariate normal mixture GARCH
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...
Persistent link: https://www.econbiz.de/10010298390
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …
Persistent link: https://www.econbiz.de/10010298391
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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10010281337
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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/10010281562
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Real-financial connectedness in the Swiss economy
Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-20
We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index...
Persistent link: https://www.econbiz.de/10013205785
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Day-of-the-week anomaly: An illusion or a reality? Evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN Journal of Applied Statistics 07 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011961644
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Customer trading in the foreign exchange market empirical evidence from an internet trading platform
Lechner, Sandra; Nolte, Ingmar - 2007
This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign...
Persistent link: https://www.econbiz.de/10010266950