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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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Bubbles for Fama from Sornette
Zhao, Dongshuai; Sornette, Didier - 2021
Galvanized by the claims of Greenwood et al. in Bubbles for Fama that “a sharp price increase of an industry portfolio does not, on average, predict unusually low returns going forward”, and Fama’s quote (June, 2016) that “Statistically, people have not come up with ways of identifying...
Persistent link: https://www.econbiz.de/10012800716
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …
Persistent link: https://www.econbiz.de/10011751251
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Stock Market Returns and Shipping Freight Market Information : Yet Another Puzzle!
Alizadeh, Amir H. - 2011
Changes in shipping freight rates predict stock market returns. In today's global world, where economies are linked … are robust across world and international stock indexes …
Persistent link: https://www.econbiz.de/10013121786
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Transmission and impact of stock market shocks on the world economy
Attílio, Luccas Assis - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 1, pp. 1-24
the world economy, simulating aggregate shocks, and assessing the relevance of global shocks based on the level of …
Persistent link: https://www.econbiz.de/10014518548
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Exploiting spillovers to forecast crashes
Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015
We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange...
Persistent link: https://www.econbiz.de/10011376256
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Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data
Filimonov, Vladimir; Sornette, Didier - 2013
We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...
Persistent link: https://www.econbiz.de/10010257507
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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...
Persistent link: https://www.econbiz.de/10010400661
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles
Herwartz, Helmut - 2014
We assess the contribution of macroeconomic uncertainty - approximated by the dispersion of the real GDP survey forecasts - to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods are...
Persistent link: https://www.econbiz.de/10013048399