Showing 1 - 10 of 23,567
In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the...
Persistent link: https://www.econbiz.de/10005062567
The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...
Persistent link: https://www.econbiz.de/10005424013
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10004974501
The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...
Persistent link: https://www.econbiz.de/10011109608
We conduct an econometric analysis of bubbles in housing markets in the OECD area, using quarterly OECD data for 18 countries from 1970 to 2013. We pay special attention to the explosive nature of bubbles and use econometric methods that explicitly allow for explosiveness. First, we apply the...
Persistent link: https://www.econbiz.de/10011118616
This paper investigates the possible existence of Granger-causal relationships in the behavior of sovereign bond markets within the European Monetary Union (EMU), with special focus on higher order causality accounting for nonlinear dependence between the variables. With the above in mind both...
Persistent link: https://www.econbiz.de/10011201328
This work proposes an approach for estimating value at risk (VaR) of the Mexican stock exchange index (IPC) by using a combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH) and two asymmetric (GJR-GARCH and EGARCH); and...
Persistent link: https://www.econbiz.de/10010823163
Resumen: El presente estudio se enfoca en determinar la relación entre los volúmenes de operación y la asimetría de los rendimientos de los principales mercados accionarios latinoamericanos: Argentina, Brasil, Chile, Colombia, México y Perú. Se utiliza el modelo propuesto por Hutson et al....
Persistent link: https://www.econbiz.de/10010763761
Este articulo se enfoca en el analisis de los modelos de prediccion de retornos financieros. En particular se estudian el modelo CAPM, el modelo Reward Beta y el modelo de tres factores de Fama y French. El objetivo es poder determinar mediante este analisis que modelo explica de mejor manera...
Persistent link: https://www.econbiz.de/10010897765
This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...
Persistent link: https://www.econbiz.de/10010781511