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Pinheiro, Marcelo de Albuquerque - 2003

Persistent link: https://www.econbiz.de/10003628557

Measuring systemic risk : common factor exposures and tail dependence effects

Chiu, Wan-Chien; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 21 (2015) 5, pp. 833-866

Persistent link: https://www.econbiz.de/10011408533

Equilibrium moment restrictions on asset returns : normal and crisis periods

Simmons, Peter J.; Tantisantiwong, Nongnuch - In: The European journal of finance 20 (2014) 10/12, pp. 1064-1089

Persistent link: https://www.econbiz.de/10010465917

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Another look at the relationship between cross-market correlation and volatility

Bartram, Söhnke M.; Wang, Yaw-Huei - In: Finance research letters 2 (2005) 2, pp. 75-88

Persistent link: https://www.econbiz.de/10002883183

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Incomplete asset markets and the cross-country consumption correlation puzzle

Kollmann, Robert - 1996

Persistent link: https://www.econbiz.de/10000943632

Potential PCA interpretation problems for volatility smile dynamics

Reiswich, Dimitri; Tompkins, Robert G. - 2009

Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...

Persistent link: https://www.econbiz.de/10011293917

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …

Persistent link: https://www.econbiz.de/10013137011

The Lucas Orchard

Martin, Ian - 2011

This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...

Persistent link: https://www.econbiz.de/10013118845