Showing 1 - 10 of 1,014
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...
Persistent link: https://www.econbiz.de/10013034895
The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff,...
Persistent link: https://www.econbiz.de/10012904964
The link between systemic risk and economic growth is hard to study because the relationship is believed to be nonlinear and systemic risk is unobservable. The myriad of measures proposed in the literature add model uncertainty as an additional difficulty. I use a Bayesian quantile regression to...
Persistent link: https://www.econbiz.de/10013226354
Standard portfolio construction models are based on the implicit assumption that all information relevant to making investment choices is probabilizable. However, both empirical behaviors of market participants and the increased success of approaches like risk parity underly an implicit...
Persistent link: https://www.econbiz.de/10013240886
We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...
Persistent link: https://www.econbiz.de/10013138164
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10008856379
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
This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...
Persistent link: https://www.econbiz.de/10011905243
We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions
Persistent link: https://www.econbiz.de/10013058577
This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the Twitter-based Economic Uncertainty-TEU, and...
Persistent link: https://www.econbiz.de/10013306862