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Predicting covariance matrices with financial conditions indexes

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2013

Persistent link: https://www.econbiz.de/10009784937

Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

Persistent link: https://www.econbiz.de/10010348307

Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

Persistent link: https://www.econbiz.de/10010406941

On the economic determinants of optimal stock-bond portfolios : international evidence

Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …

Persistent link: https://www.econbiz.de/10011745369

Global, regional and country-specific components of financial market indicators : an extraction method and applications

Kocsis, Zalán - 2013

This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...

Persistent link: https://www.econbiz.de/10009774447

Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10012599014

Intra-daily volatility spillovers between the US and German stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2012

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the US Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

Persistent link: https://www.econbiz.de/10009539877

Impact of public news sentiment on stock market index return and volatility

Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Persistent link: https://www.econbiz.de/10012629835

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

Forecasting international stock market correlations : does anything beat a CCC?

Manner, Hans; Reznikova, Olga - 2010

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of … different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock … market indices. In contrast to previous studies only the correlation and not the entire covariance matrix is forecasted and …

Persistent link: https://www.econbiz.de/10008939359