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Dependence Structure and Extreme Comovements in International Equity and Bond Markets
Garcia, René; Tsafack, Georges - Centre Interuniversitaire de Recherche en Analyse des … - 2009
documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …
Persistent link: https://www.econbiz.de/10005052205
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Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures
Adämmer, Philipp; Bohl, Martin T.; Ledebur, Ernst-Oliver - Center for Quantitative Economics (CQE), … - 2015
Empirical studies on price transmissions between North American and European agricultural futures neglect the period of financialization in the US commodity market, the increase of futures trading in Europe and the recent price turmoils. We fill this gap by analyzing the price dynamics of...
Persistent link: https://www.econbiz.de/10011129961
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Asymmetric Exchange Rate Exposure and Industry Characteristics : Evidence from Japanese Data
Hsu, Chih-Chiang; Yau, Ruey; Wu, Jyun-Yi - In: Hitotsubashi Journal of Economics 50 (2009) 1, pp. 57-69
This paper investigates the asymmetric effects of exchange rate exposure on Japanese stock returns at the industry level.Using the asymmetric correlation test of Hong et al.(2007), we examine five major currencies against the yen and thirty-three Japanese sectoral stock returns.Signi ficant...
Persistent link: https://www.econbiz.de/10009206427
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Regime switching, asymmetric correlation and international portfolio choices
Abid, Fathi; Bahloul, Slah - In: International Journal of Monetary Economics and Finance 4 (2011) 2, pp. 172-194
The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers...
Persistent link: https://www.econbiz.de/10009352502
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Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone
Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789
This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3,2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by...
Persistent link: https://www.econbiz.de/10010857996
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What Drives International Equity Correlations? Volatility or Market Direction?
Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - Departamento de Economía, Universidad Carlos III de Madrid - 2009
We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of...
Persistent link: https://www.econbiz.de/10008486974
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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572
several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH … model for analyzing the comovement of indexes in German equity markets. The model is implemented with an ARMA-GARCH model … skewed Student's t copula ARMA(1,1)-GARCH(1,1) model with Lévy fractional stable noise is superior to alternative models …
Persistent link: https://www.econbiz.de/10005046500
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Determinants of CEE-4 Stock Market Integration
Baumöhl, Eduard - In: Politická ekonomie 2014 (2014) 3, pp. 347-365
Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is...
Persistent link: https://www.econbiz.de/10011228234
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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2011
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011257612
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Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
Aielli, Gian Piero; Caporin, Massimiliano - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
It is well-known that the estimated GARCH dynamics exhibit common patterns. Starting from this fact we extend the … Dynamic Conditional Correlation (DCC) model by allowing for a cluster- ing structure of the univariate GARCH parameters. The … the whole set of modelÕs parameters. We also present a new approach to the clustering of GARCH processes, which embeds the …
Persistent link: https://www.econbiz.de/10009025296