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Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

Persistent link: https://www.econbiz.de/10011410634

The variance risk premium and fundamental uncertainty

Conrad, Christian; Stürmer, Karin - 2015 - This version: February 24, 2015

We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that the new measure has strong predictive ability for future U.S. aggregate stock market returns and rationalize this result by showing that...

Persistent link: https://www.econbiz.de/10010484829

Multi-period credit default prediction with time-varying covariates

Orth, Walter - 2011 - First draft: March 17, 2011

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the … context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time …-varying covariates like balance sheet or stock market variables. If the prediction horizon covers multiple periods, this leads to the …

Persistent link: https://www.econbiz.de/10008939079

Anticipating long-term stock market volatility

Conrad, Christian; Loch, Karin - 2012

We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables...

Persistent link: https://www.econbiz.de/10009656267

Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-18

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of...

Persistent link: https://www.econbiz.de/10012504028

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...

Persistent link: https://www.econbiz.de/10011301206

The random walk of high frequency trading

Aldrich, Eric M.; Heckenbach, Indra; Laughlin, Gregory - 2015 - This draft: June 1, 2015

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...

Persistent link: https://www.econbiz.de/10010392091

The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10010464707

Coexceedance in the US and the UK Stock Markets : An Analysis of Contagion During the 2007-2009 Financial Crisis

Chevapatrakul, Thanaset - 2013

In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves...

Persistent link: https://www.econbiz.de/10013087858

Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis

Yunus, Nafeesa - 2019

This study explores the dynamic nature of linkages among seven key real estate sectors which include residential, health, lodging-resort, storage, office, retail and industrial. Long-run results reveal evidence of increased integration and contagion across the real estate sectors in the wake of...

Persistent link: https://www.econbiz.de/10012872072

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