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Deep learning, jumps, and volatility bursts
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …
Persistent link: https://www.econbiz.de/10012181300
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10012029331
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Regime switching vine copula models for global equity and volatility indices
Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics : open access journal 5 (2017) 1, pp. 1-38
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...
Persistent link: https://www.econbiz.de/10011653689
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Correlation Regimes in International Equity and Bond Returns
Aslanidis, Nektarios - 2020
Measuring comovements across international financial markets is important for policy purposes and portfolio management. We develop a new approach to analyse such comovements in relation to key state variables, such as equity market volatility and short-term interest rates. These state variables...
Persistent link: https://www.econbiz.de/10012855725
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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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Time-varying granger causality tests for applications in global crude oil markets : a study on the DCC-MGARCH Hong test
Caporina, Massimiliano; Costola, Michele - 2021
Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...
Persistent link: https://www.econbiz.de/10012643850
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Modeling the Global Price of Oil 2003-2018 : Unintended Consequences of U.S. Quantitative Easing
Malliaris, A. (Tassos) G. - 2020
During the Global Financial Crisis of 2007-2009, the price of crude oil dropped markedly from about $140 per barrel in June 2008 to about $40 in early 2009. As Quantitative Easing allowed the U.S. economy to stabilize and return to slow growth, oil prices increased and averaged about $100 during...
Persistent link: https://www.econbiz.de/10012834167
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What Microeconomic Fundamentals Drive Global Oil Prices During 1986-2020?
Malliaris, A. (Tassos) G.; Malliaris, Mary - 2021
The global financial crisis of 2007-2009 caused major economic disturbances in the oil market. In this paper we consider five variables describing the microeconomics of supply of, and demand for oil and evaluate their importance before, during and after the global financial crisis. We consider...
Persistent link: https://www.econbiz.de/10013217451
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2019
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012061369
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Dynamic Global Currency Hedging
Christensen, Bent Jesper - 2018
This paper proposes a model for discrete-time hedging based on continuous-time movements in portfolio and foreign currency exchange rate returns. In particular, the vector of optimal currency exposures is shown to be given by the negative realized regression coefficients from a one-period...
Persistent link: https://www.econbiz.de/10012936577