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Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10012610989

On empirical challenges in forecasting market betas in crypto markets

Šíla, Jan; Mark, Michael; Krištoufek, Ladislav - 2022

This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a...

Persistent link: https://www.econbiz.de/10014301790

Common Cycles in Volatility and Cross Section of Stock Returns

Barunik, Jozef; Kraicova, Lucie - 2017

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...

Persistent link: https://www.econbiz.de/10011787308

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011526121

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011483824

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/10011566387

Testing for stock market contagion : a quantile regression approach

Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 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/10010504111

Economic Links and Counterparty Risk

Signori, Daniele - 2012

Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of financial networks that is suitable for the construction of proxies for counterparty risk. Using...

Persistent link: https://www.econbiz.de/10013109115

Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management

Allen, David E. - 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 show that univariate GARCH is not a special case of multivariate GARCH,...

Persistent link: https://www.econbiz.de/10012951782

Sentiment Spillover Effects for US and European Companies

Audrino, Francesco - 2017

The fast-growing literature on the news and social media analysis provide empirical evidence that the financial markets are often driven by information rather than facts. However, the direct effects of sentiments on the returns are of main interest. In this paper, we propose to study the...

Persistent link: https://www.econbiz.de/10012957948