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Quantifying the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2019

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...

Persistent link: https://www.econbiz.de/10012063227

Systemic risk in the European financial and energy sector : dynamic factor copula approach

Nevrla, Matej - 2017

In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...

Persistent link: https://www.econbiz.de/10011659313

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

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

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...

Persistent link: https://www.econbiz.de/10010491085

A Hawkes model of the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2017

future default in another, and so news about one country could impact all others. To test for such dynamic contagion between …

Persistent link: https://www.econbiz.de/10011730365

Testing for Stock Market Contagion: A Quantile Regression Approach

Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …

Persistent link: https://www.econbiz.de/10011288395

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2016

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical...

Persistent link: https://www.econbiz.de/10011586719

Tail risks, asset prices, and investment horizons

Baruník, Jozef; Nevrla, Matěj - 2019

We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the frequency decomposition of covariance between indicator functions, we define the quantile cross-spectral beta of an asset capturing tail-specific as well as horizon-, or...

Persistent link: https://www.econbiz.de/10012063495

Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors

Zopiatis, Anastasios; Savva, Christos S.; Lambertides, … - 2017

Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of Euros were wiped from tourism related stocks. The theoretical relationship of the industry with such unexpected non-macro incidents received moderate academic coverage. Nevertheless, the...

Persistent link: https://www.econbiz.de/10011819445

Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management

Allen, David; McAleer, Michael - 2017

The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate ARCH,...

Persistent link: https://www.econbiz.de/10011819462

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017

In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which encompasses...

Persistent link: https://www.econbiz.de/10011819498