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Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...

Persistent link: https://www.econbiz.de/10011855291

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Persistent link: https://www.econbiz.de/10010407524

Stock Market Technologies in Business

Trifonov, Yuriy - 2014

Prospects for using stock market technologies in business have been analyzed. There have been suggested a stock-market risk management model using synthetic straddles, a R&D project evaluation model using the ROV method under conditions of limited information, methods for evaluating an equipment...

Persistent link: https://www.econbiz.de/10013044523

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Forte, Santiago - 2020

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...

Persistent link: https://www.econbiz.de/10012848868

Does Decomposing Realized Volatility Help in Risk Prediction : Evidence from Chinese Mainland Stocks

Liao, Yin - 2011

stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps … in three Chinese stocks, and find that relative to developed markets, jumps in this emerging market are more predictable … newly proposed realized volatility forecasting model (Andersen et al, 2007), which separately treats jumps and the …

Persistent link: https://www.econbiz.de/10013131542

Market instability and technical trading at high frequency : evidence from NASDAQ stocks

Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - In: Economic modelling 102 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012797344

Jump tail dependence in the Chinese stock market

Li, Sophia Zhengzi; Wang, Hao; Zhao, Hua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2379-2396

Persistent link: https://www.econbiz.de/10011672561

The dynamics of price jumps in the stock market : an empirical study on Europe and U.S.

Ferriani, Fabrizio; Zoi, Patrick - In: The European journal of finance 28 (2022) 7, pp. 718-742

Persistent link: https://www.econbiz.de/10013373314

Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a …

Persistent link: https://www.econbiz.de/10012650140

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