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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert G. - 2009
Persistent link: https://www.econbiz.de/10003858887
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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert G. - 2009
volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be …
Persistent link: https://www.econbiz.de/10011293917
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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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Do co-jumps impact correlations in currency markets?
Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119
Persistent link: https://www.econbiz.de/10012001025
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Correlation versus co-fractality : evidence from foreign-exchange-rate variances
Grobys, Klaus - In: International review of financial analysis 86 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248594
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Energy contagion analysis : a new perspective with application to a small petroleum economy
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018
in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures …
Persistent link: https://www.econbiz.de/10011922053
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Tracing the genesis of contagion in the oil-finance nexus
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into discrete typical and extreme conditions. We show how these...
Persistent link: https://www.econbiz.de/10012120201
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Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach
Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...
Persistent link: https://www.econbiz.de/10011534717
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the …
Persistent link: https://www.econbiz.de/10011343243