Narrow search
Showing 1 - 10 of 16,065
Cover Image
Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
Cover Image
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
Cover Image
Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
Cover Image
On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …
Persistent link: https://www.econbiz.de/10012241109
Cover Image
Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...
Persistent link: https://www.econbiz.de/10011883272
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
Cover Image
A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach
Wang, Yi-Chiuan - 2012
This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....
Persistent link: https://www.econbiz.de/10013107722
Cover Image
A Latent Factor Model of Multivariate Conditional Heteroscedasticity
Aguilar, Mike - 2010
This paper examines the joint dynamics of a system of asset returns by describing and implementing a factor multivariate stochastic volatility (factor MSV) model. The foundation for the model discussed here is the work of Doz and Renault (2006). Despite its attractive design, that model has not...
Persistent link: https://www.econbiz.de/10013150665
Cover Image
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
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/10003821063
Cover Image
Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …
Persistent link: https://www.econbiz.de/10008797745