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Why Does the Correlation between Stock and Bond Returns Vary Over Time?
Andersson, Magnus - 2011
the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the … same direction during periods of high inflation expectations, while epochs of negative stock-bond return correlation seem …, it is found that the stock-bond return correlation is virtually unaffected by economic growth expectations …
Persistent link: https://www.econbiz.de/10013131459
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10009151649
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Asymptotics of asynchronicity
Bibinger, Markus - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009151650
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Expected Returns and Large Language Models
Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - 2023
We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...
Persistent link: https://www.econbiz.de/10014351081
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Extreme Downside Risk and Financial Crises
Harris, Richard D. F. - 2015
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...
Persistent link: https://www.econbiz.de/10013015516
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Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10009714536
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...
Persistent link: https://www.econbiz.de/10012549999
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Modeling International Financial Returns with a Multivariate Regime-Switching Copula
Chollete, Lorán - 2010
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...
Persistent link: https://www.econbiz.de/10013150667
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Cojumps and Asset Allocation in International Equity Markets
Arouri, Mohamed - 2018
This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...
Persistent link: https://www.econbiz.de/10012907781