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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis

Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

Persistent link: https://www.econbiz.de/10014295230

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10003636008

Multivariate normal mixture GARCH

Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003351679

Time series analysis for financial market meltdowns

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010

There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...

Persistent link: https://www.econbiz.de/10008653556

Value at risk using GARCH volatility models augmented with extreme value theory

Dicks, A.; Conradie, W. J.; De Wet, Tertius - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10010517322

The stress-dependent random walk

Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011419399

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173

Persistent link: https://www.econbiz.de/10011326796

Value-at-Risk analysis in the presence of asymmetry and long memory : the case of Turkish Stock Market

Balibey, Mesut; Turkyilmaz, Serpil - In: International journal of economics and financial issues … 4 (2014) 4, pp. 836-848

Persistent link: https://www.econbiz.de/10010528502

GARCH models, tail indexes and error distributions : an empirical investigation

Šopov, Boril; Horváth, Roman - 2015

We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...

Persistent link: https://www.econbiz.de/10010529886