Narrow search
Showing 31 - 40 of 7,458
Cover Image
A time-varying perspective on the CAPM and downside betas
Tsai, Hsiu-Jung; Chen, Ming-Chi; Yang, Chih-Yuan - In: International Review of Economics & Finance 29 (2014) C, pp. 440-454
, the DCC downside betas (HW-beta and HR-beta) more effectively explain the expected stock market returns than does the CAPM …
Persistent link: https://www.econbiz.de/10010729744
Cover Image
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010795051
Cover Image
Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the … standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no …
Persistent link: https://www.econbiz.de/10010837796
Cover Image
Oil Shocks and their Impact on Energy Related Stocks in China
Broadstock, David C; Cao, Hong; Zhang, Dayong - Surrey Energy Economics Centre (SEEC), School of Economics - 2012
This paper contributes to the current literature by adopting dynamic conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in China. After conditioning for structural instability, the results show a much...
Persistent link: https://www.econbiz.de/10010860984
Cover Image
Are Global Food Prices Becoming More Volatile and More Persistent?
Kim, Hyeongwoo - Department of Economics, Auburn University - 2013
Global food prices have recently exhibited highly volatile and very persistent dynamics. Greater fluctuations in food commodities than manufacturing goods often put more serious hardship to poor countries that tend to specialize in raw commodity industries. The present paper attempts to identify...
Persistent link: https://www.econbiz.de/10010862372
Cover Image
Ten Things You Should Know About DCC
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2013
Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the … standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no …
Persistent link: https://www.econbiz.de/10010862577
Cover Image
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Department of Economics and Finance, College of … - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010907420
Cover Image
Time Variation in Diversification Benefits of Commodity, REITs, and TIPS
Huang, Jing-zhi; Zhong, Zhaodong - In: The Journal of Real Estate Finance and Economics 46 (2013) 1, pp. 152-192
Dynamic Conditional Correlation (DCC) model (Engle, J Bus Econ Stat 20(3):339–350, <CitationRef CitationID="CR16 …
Persistent link: https://www.econbiz.de/10010989328
Cover Image
Regime switching in volatilities and correlation between stock and bond markets
Chen, Runquan - London School of Economics (LSE) - 2009
This paper studies the correlation and volatilities of the bond and stock markets in a regime- switching bivariate GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov-switching GARCH model with Conditional Constant Correlation...
Persistent link: https://www.econbiz.de/10011071166
Cover Image
Infinite-state Markov-switching for dynamic volatility and correlation models
DUFAYS, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2012
. GARCH and DCC models with changing parameters are specified using the sticky infinite hidden Markov-chain framework …
Persistent link: https://www.econbiz.de/10010927665