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Copula-based vMEM specifications versus alternatives: The case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...

Persistent link: https://www.econbiz.de/10011755372

Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011482587

Uncertainty due to infectious diseases and stock-bond correlation

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Econometrics 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/10012696322

Early-Warning Warning Systems in Light of the International Debt Crisis

Amelung, Torsten; Mehltretter, Thorsten - In: Konjunkturpolitik, Zeitschrift für angewandte … 32 (1986) 5, pp. 257-281

The paper analyzes and tests various quantitative models to assess the probability of default of sovereign debt, such as scoring models, univariate analysis as well as logit models.The outcomes of the different models are not at a level that they could be used for forecasting or rating. There...

Persistent link: https://www.econbiz.de/10012590182

Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence

Said, Khalil; Qalli, Yassine EL; Fadlallah, Abdellali - In: Cogent Business & Management 10 (2023) 3, pp. 1-19

This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013) (El Qalli & Said, 2023), to measure the...

Persistent link: https://www.econbiz.de/10014527542

Lambda value at risk and regulatory capital: A dynamic approach to tail risk

Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks 6 (2018) 1, pp. 1-18

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated … measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hence, we test … our VaR proposals under extreme downward scenarios of the financial crisis and different assumptions on the profit and …

Persistent link: https://www.econbiz.de/10011996575

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 80-109

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/10011843245

Do jumps matter in both equity market returns and integrated volatility: A comparison of Asian developed and emerging markets

Zada, Hassan; Hassan, Arshad; Wong, Wing Keung - In: Economies 9 (2021) 2, pp. 1-26

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Persistent link: https://www.econbiz.de/10013199830

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics 3 (2015) 1, pp. 2-54

We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...

Persistent link: https://www.econbiz.de/10011755269

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011755339

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