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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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State space and unobserved component models : theory and applications
Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor);  … - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10009681752
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Security market imperfections in worldwide equity markets
Keim, Donald B. (contributor);  … - 2000
Persistent link: https://www.econbiz.de/10000968945
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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper
Strohsal, Till; Weber, Enzo - 2013
In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest volatility-dependent cross-market spillovers. If...
Persistent link: https://www.econbiz.de/10010339937
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …
Persistent link: https://www.econbiz.de/10010491085
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News media, common information, and sectoral comovement : conference paper
Buchen, Teresa - 2014
This paper investigates whether information complementarities can explain the strong patterns of sectoral comovement …. Employing the connectedness index by Diebold and Yilmaz (2009, 2012) as a new measure of sectoral comovement and using data on … increases the comovement of sectoral business expectations. This common shock to expectations is reflected in a delayed increase …
Persistent link: https://www.econbiz.de/10010484401
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The value of the revolving door : political appointees and the stock market ; conference paper
Lüchinger, Simon; Moser, Christoph - 2014
We analyze stock market reactions to announcements of political appointments from the private sector and corporate appointments of former government officials. Using unique data on corporate affiliations and announcements of all Senate-confirmed U.S. Defense Department appointees of six...
Persistent link: https://www.econbiz.de/10010490694
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Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
Bourghelle, David (ed.); Grandin, Pascal (ed.);  … - IEAP Meeting: Investor Emotions & Asset Pricing <1., … - 2023
Introduction -- Part I. Asset Pricing -- Chapter 1. Oil Price Uncertainty: Panel Evidence from the G7 and BRICS Countries -- Chapter 2. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment -- Chapter 3. Linking the COVID-19 Epidemic and Emerging...
Persistent link: https://www.econbiz.de/10014248040
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Financial market history : reflections on the past for investors today
Chambers, David (ed.); Dimson, Elroy (ed.) - Financial Market History <Veranstaltung> <2015, Cambridge> - 2016
Persistent link: https://www.econbiz.de/10011750576