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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - 2012
transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four …) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The …
Persistent link: https://www.econbiz.de/10010311789
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Financial network systemic risk contributions
Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2013
We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information,...
Persistent link: https://www.econbiz.de/10010201170
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...
Persistent link: https://www.econbiz.de/10010491085
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and...
Persistent link: https://www.econbiz.de/10011874650
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The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index : A Quantile Regression Approach
Tekin, Bilgehan - 2020
The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...
Persistent link: https://www.econbiz.de/10012854437
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The Macroeconomy and the Cross-Section of International Equity Index Returns : A Machine Learning Approach
Popescu, Andreea Victoria - 2020
The paper evaluates the out-of-sample predictive potential of machine learning methods in the cross-section of international equity index returns using firm fundamentals and macroeconomic predictors. The relatively small number of equity indices in the cross-section compared to the multitude of...
Persistent link: https://www.econbiz.de/10012846997
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Industry Distress and Default Recovery Rates : The Unconditional Quantile Regression Approach
Chuang, Hui-Ching - 2020
In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...
Persistent link: https://www.econbiz.de/10012847199
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Testing for Stock Market Contagion : A Quantile Regression Approach
Park, Sungyong - 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …
Persistent link: https://www.econbiz.de/10013025474
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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …
Persistent link: https://www.econbiz.de/10010504111
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Common cycles in volatility and cross section of stock returns
Barunik, Jozef; Kraicova, Lucie - 2017
We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...
Persistent link: https://www.econbiz.de/10011722181