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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
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The role of data and priors in estimating climate sensitivity
Ikefuji, Masako; Magnus, Jan R.; Vasnev, Andrey L. - 2023
data contain much less information than one might think, due to the presence of correlation. We conclude that the prior in …
Persistent link: https://www.econbiz.de/10014451903
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …
Persistent link: https://www.econbiz.de/10003891679
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Realized Volatility Risk
Allen, David E. - 2010
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10013149893
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On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets
Conrad, Christian - 2014
Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …
Persistent link: https://www.econbiz.de/10013066427
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Time-frequency analysis of financial stress and global commodities prices : insights from wavelet-based approaches
Armah, Mohammed; Amewu, Godfred; Bossman, Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-25
We examine the time-frequency lead-lag relationships and the degree of integration between the US financial stress index and global commodity prices (i.e., oil, gold, silver, and cocoa) with data covering over 47 decades (January 1975 to December 2021). For this purpose, we resort to the bi- and...
Persistent link: https://www.econbiz.de/10013389437
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10003965868
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A Double Correlated Three Factor Model for a Crude Oil Market
Fileccia, Gaetano - 2015
the historical measure, the purpose of this work is to study the estimation problem under both measures at the same time …, through a suitable parametric choice of the Radon-Nikodym derivative.To conduct this estimation we resort to a recent …
Persistent link: https://www.econbiz.de/10013027655
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10013094817
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Financial markets as a complex system : a short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - 2001
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10010504303