Narrow search
Showing 61 - 70 of 15,911
Cover Image
Factor Volatility Spillover and Its Implications on Factor Premia
Shi, Huai-Long; Zhou, Wei-Xing - 2022
factors' volatility spillovers. Furthermore, we investigate the relationship between factor volatility spillovers and their …-Pacific is the net receiver; the profitability factor, RMW, is the net transmitter. (2) Volatility spillovers would be … intensified after major risk events. (3) A positive relationship exists between the volatility spillovers and factor premia …
Persistent link: https://www.econbiz.de/10014236578
Cover Image
Asymmetric Ambiguity Spillover Among International Equity Markets
Qin, Xiao; Wang, Yuwen - 2022
We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates noticeable asymmetry. The US equity market is the...
Persistent link: https://www.econbiz.de/10014236877
Cover Image
Asymmetric Dependence in International Currency Markets
Paltalidis, Nikos - 2020
time-varying spillover intensities cause a significant increase in cross-asset linkages during periods of high volatility …
Persistent link: https://www.econbiz.de/10012853294
Cover Image
Forecasting Covariance for Optimal Carry Trade Portfolio Allocations
Ames, Matthew - 2016
Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios …
Persistent link: https://www.econbiz.de/10013002082
Cover Image
Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods
Bidarkota, Prasad V. - 2004
varying volatility and non-normalities in the observed series. Our signal plus noise model fails to isolate a statistically …
Persistent link: https://www.econbiz.de/10014070007
Cover Image
Estimated DSGE Model for Macroeconomic Analysis in a Small-Open Economy : A Ghanaian Perspective
Akosah, Nana Kwame - 2020
The study develops a standard representative-agents’ New Keynesian model for macroeconomic analysis in a developing African economy. Using Bayesian estimation techniques and Ghanaian dataset, the core objective of the paper is to determine the best suited monetary policy rule for Ghana. After...
Persistent link: https://www.econbiz.de/10014092518
Cover Image
Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods
Wang, Zhiguang - 2011
signal plus noise model. Our models account for time-varying volatility and non-normality in the observed series. Our …
Persistent link: https://www.econbiz.de/10013122689
Cover Image
Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios
Alexander, Carol; Dakos, Michael - 2022
, provided they capture an asymmetric volatility response and a heavy-tailed returns distribution. Moreover, on ranking each …
Persistent link: https://www.econbiz.de/10013292091
Cover Image
Markov Switching and Exchange Rate Predictability
Nikolsko‐Rzhevskyy, Alex - 2011
We first show that the recent success of modern macroeconomic models in forecasting nominal exchange rates, evaluated using the Clark and West (2006) inference procedure, is in part due to the presence of the constant term (drift) in addition to the economic fundamentals. We then model the...
Persistent link: https://www.econbiz.de/10013134463
Cover Image
Foreign Exchange and the Capital Market Dynamics : New Evidence from Non-linear Autoregressive Distributed Lag Model
Omoregie, Osaretin Kayode - 2020
The purpose of this study was to investigate and analyze the relationship between foreign exchange and capital market dynamics in Nigeria from January 1999 to February 2018. The study deployed the Non-Linear-ARDL model to study the dynamics of exchange rate and the capital market in Nigeria. The...
Persistent link: https://www.econbiz.de/10012834326