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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2019
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10012904964
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2014
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10013056852
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …
Persistent link: https://www.econbiz.de/10012910119
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...
Persistent link: https://www.econbiz.de/10011555959
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Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...
Persistent link: https://www.econbiz.de/10012945121
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …
Persistent link: https://www.econbiz.de/10010298391
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On the Risk Return Relationship
Wang, Jian-Xin - 2012
volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107156
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Liquidity and Conditional Market Returns : Evidence from German Exchange Traded Funds
Czauderna, Katrin - 2015
In the spirit of Merton (1973), we assert that temporary aggregate market illiquidity is compensated for in the form of higher conditional market returns. In order to test this hypothesis, we use two available liquidity proxies, namely versions of the Amihud illiquidity measure and a measure...
Persistent link: https://www.econbiz.de/10013014450