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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003499671

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …

Persistent link: https://www.econbiz.de/10012170580

Securities transaction tax-case study of India

Malik, Neha - 2014

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

Persistent link: https://www.econbiz.de/10010354157

A comparative study of the volatility and efficiency of commodity futures index roll methods

Aroskar, Rajarshi; Ogden, William A. - In: Financial studies 22 (2018) 3, pp. 27-40

Given the size of the commodity index market, rollovers require large numbers of contracts to be purchased and sold on rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the market efficiency of their indexes. This study...

Persistent link: https://www.econbiz.de/10011964964

Time Series Momentum and Macroeconomic Risk

Hutchinson, Mark - 2019

The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due to the expectation of positive returns in equity bear markets. However, the return drivers of...

Persistent link: https://www.econbiz.de/10012904512

Return and Dividend Expectations in the Cross-Section of Prices

Douglas, Reed - 2022

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

Persistent link: https://www.econbiz.de/10014236440

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

Persistent link: https://www.econbiz.de/10011922750

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014305816

Volatility impact of stock index futures trading : a revised analysis

Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

Persistent link: https://www.econbiz.de/10009673721