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Purchasing power parity: an empirical study of three EMU countries

Duarte, António Portugal - EconWPA - 2005

We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...

Persistent link: https://www.econbiz.de/10005408164

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10011605028

The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Treepongkaruna, Sirimon; … - In: International Review of Financial Analysis 34 (2014) C, pp. 5-20

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies' (CRAs) sovereign credit re-ratings on European stock and currency return distributions over the period from 1996 to 2012....

Persistent link: https://www.econbiz.de/10010931492

Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence

Degiannakis, Stavros; Floros, Christos; Dent, Pamela - In: International Review of Financial Analysis 27 (2013) C, pp. 21-33

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH …-ahead forecasting horizons relative to the short memory GARCH specification. Additionally, the results suggest that underestimation of … the true VaR figure becomes less prevalent as the forecasting horizon increases. Furthermore, the GARCH model has a lower …

Persistent link: https://www.econbiz.de/10010636498

VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA

Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

In this paper I analyze the relative performance of Gaussian and Student-t GARCH and FIGARCH type models for volatility …

Persistent link: https://www.econbiz.de/10005731355

Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach

Boubaker, Heni; Sghaier, Nadia - In: Journal of Banking & Finance 37 (2013) 2, pp. 361-377

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we...

Persistent link: https://www.econbiz.de/10010595280

The 2007-? financial crisis: a money market perspective

Cassola, Nuno; Morana, Claudio - Centre for Research on Pensions and Welfare Policies … - 2010

The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the...

Persistent link: https://www.econbiz.de/10008839157

Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - 2002

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

Persistent link: https://www.econbiz.de/10011604240

Forecasting volatility: Evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18

autoregressive conditional heteroskedasticity (GARCH)-class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …

Persistent link: https://www.econbiz.de/10012611046

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

Persistent link: https://www.econbiz.de/10009725481