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A Stochastic Volatility Model with Conditional Skewness

Feunou, Bruno; Tédongap, Roméo - 2012

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Persistent link: https://www.econbiz.de/10014047692

A stochastic volatility model with conditional skewness

Feunou, Bruno; Tédongap, Roméo - 2011

Persistent link: https://www.econbiz.de/10009309462

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds … test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence … for a strong long-run relationship. The Granger causality test results indicate a long-run bidirectional causality between …

Persistent link: https://www.econbiz.de/10011649295

Stock markets and effective exchange rates in European countries : threshold cointegration findings

Kollias, Chrēstos; Papadamou, Stephanos; Siriopoulos, … - In: Eurasian economic review : a journal in applied … 6 (2016) 2, pp. 215-274

Persistent link: https://www.econbiz.de/10011587642

Long-term relationship of KGHM share prices and the market value of high grade copper

Zbyrowski, Rafał - In: Journal of banking and financial economics 20 (2023), pp. 51-62

cointegration analysis. Based on the estimated models, the thesis of the existence of a long-run relationship between the studied … test of causality were applied. The study was conducted using monthly data covering quotes from August 2012 to April 2021 …

Persistent link: https://www.econbiz.de/10014515556

Asset prices and exchange rates

Pavlova, Anna; Rigobón, Roberto - 2003

Persistent link: https://www.econbiz.de/10001774940

Asset Prices and Exchange Rates

Pavlova, Anna - 2003

the data, and the point estimates are in line with the implications of our theory. Furthermore, the uncovered interest …

Persistent link: https://www.econbiz.de/10012468864

Asset Prices and Exchange Rates

Pavlova, Anna - 2003

the data, and the point estimates are in line with the implications of our theory. Furthermore, the uncovered interest …

Persistent link: https://www.econbiz.de/10012786482

Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22

The existing literature has explained the causality flow from the exchange rates toward the stock market without … affecting the nonlinear causality flowing from the exchange rates toward the stock market indexes of the ASEAN-5 region. The … the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …

Persistent link: https://www.econbiz.de/10013545812

Allowing for Jump Measurements in Volatility : A High-Frequency Financial Data Analysis of Individual Stocks

Papavassiliou, Vassilios G. - 2016

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

Persistent link: https://www.econbiz.de/10013004411