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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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Tail risk measurement in crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012803601
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Tail risk measurement In crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - 2020
Persistent link: https://www.econbiz.de/10012321939
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Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions
Geraci, Marco Valerio - 2018
We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the...
Persistent link: https://www.econbiz.de/10012936644
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Tail risk transmission : a study of the Iran food industry
Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17
This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market conditions. The model is applied to analyze both...
Persistent link: https://www.econbiz.de/10012293248
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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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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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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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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
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Tail risks, asset prices, and investment horizons
Baruník, Jozef; Nevrla, Matěj - 2019
We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the frequency decomposition of covariance between indicator functions, we define the quantile cross-spectral beta of an asset capturing tail-specific as well as horizon-, or...
Persistent link: https://www.econbiz.de/10012009758