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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional … model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of …
Persistent link: https://www.econbiz.de/10012170580
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …
Persistent link: https://www.econbiz.de/10010239322
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Trans-Atlantic equity volatility connectedness : U.S. and European financial institutions, 2004-2014
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 81-127
Persistent link: https://www.econbiz.de/10011588540
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Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets
Avouyi-Dovi, Sanvi - 2017
Through a time-varying VAR model with drifting parameters and stochastic volatilities (Cogley and Sargent, 2005, Primiceri, 2005), we explore nonlinearities on the French housing and credit markets, which give rich insights on the persistent bubble of the 2000s. While the price increase took...
Persistent link: https://www.econbiz.de/10012963084
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...
Persistent link: https://www.econbiz.de/10011554403
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A high-low model of daily stock price ranges
Cheung, Stephen Y. L. (contributor);  … - 2008
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10003749656
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A High-Low Model of Daily Stock Price Ranges
Cheung, Stephen Yan-Leung - 2015
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10012707381
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The macroeconomic cost of climate volatility
Alessandri, Piergiorgio; Mumtaz, Haroon - 2021
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...
Persistent link: https://www.econbiz.de/10012608712
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Is gold a safe haven for the dynamic risk of foreign exchange?
Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17
This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...
Persistent link: https://www.econbiz.de/10012668314