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Anatomy of a Sovereign Debt Crisis : Machine Learning, Real-time Macro Fundamentals, and CDS Spreads

Lucia, Alessi - 2020

-specific macro indicators during the eurozone sovereign debt crisis. Macro fundamentals explain 66% of the time-series variance of …. Hence, while CDS spreads reflect macro fundamentals, they also display volatility unrelated to fundamentals. We identify … sensitivities predict the VSTOXX European equity volatility index out of sample …

Persistent link: https://www.econbiz.de/10012840194

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Zhou, Haigang; Zhu, John Qi - In: Pacific-Basin finance journal 20 (2012) 5, pp. 857-880

Persistent link: https://www.econbiz.de/10009619749

Explaining the stock-stock, bond-bond and stock-bond correlation across countries

McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445

Persistent link: https://www.econbiz.de/10012515166

High-frequency data and stock-bond investing

Lai, Yu-Sheng - In: Journal of forecasting 41 (2022) 8, pp. 1623-1638

Persistent link: https://www.econbiz.de/10013465728

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

Flight to Safety in Volatility Forecasting

Ruzzi, Dario - 2018

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …

Persistent link: https://www.econbiz.de/10012916710