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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional … model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of …
Persistent link: https://www.econbiz.de/10012170580
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Financial sector volatility connectedness and equity returns
Demirer, Mert; Gökçen, Umut; Yılmaz, Kamil - 2018
to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non … firms with positive and negative exposures to financial connectedness. The four-factor alpha of a strategy that goes long in … the bottom decile and short in the top decile of stocks sorted on their connectedness betas is roughly 15% per annum …
Persistent link: https://www.econbiz.de/10011778209
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Assessing the Risk-Return Trade-Off in Loans Portfolios
Mencia, Javier - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10013158964
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The Role of a Latent Value-Relevant Measure in Tracking and Predicting Stock Returns : A FAVAR Approach
Awwal, Faisal M. - 2020
factors that are broadly captured by big data. We use a two-step principal components estimation approach to extract the …
Persistent link: https://www.econbiz.de/10012830124
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...
Persistent link: https://www.econbiz.de/10014388605
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Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth,...
Persistent link: https://www.econbiz.de/10014381149
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Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants
Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025
We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing...
Persistent link: https://www.econbiz.de/10015197299
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Volatility transmitter or receiver? : investigating dynamic connectedness between the carry trade and financial markets
Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758
By examining the connectedness of carry trade currency with stock, foreign exchange (forex), and commodity markets, the …
Persistent link: https://www.econbiz.de/10014308844
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An empirical analysis of terrorism and stock market spillovers : the case of Spain
Laborda, Ricardo; Olmo, Jose - In: Defence and peace economics 32 (2021) 1, pp. 68-86
Persistent link: https://www.econbiz.de/10012392086