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Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008

Kayral, Ihsan Erdem - 2017

Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock...

Persistent link: https://www.econbiz.de/10012955993

Can We Beat the Random Walk? The Case of Survey-Based Exchange Rate Forecasts in Chile

Pincheira, Pablo M. - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10012906841

Tail Risks in Credit, Commodity, and Shipping Markets

Gounopoulos, Dimitrios - 2020

We employ several copula functions to capture conditional and tail dependence during periods of extreme volatility and reverse conditions between shipping, financial, commodity and credit markets. We find that shocks in the shipping market coincide with dramatic changes in other markets and...

Persistent link: https://www.econbiz.de/10012851158

The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited

Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

Persistent link: https://www.econbiz.de/10010951615

The role of the timeline in Granger causality test in the presence of daily data non-synchronism

Grigoryev, Ruslan; Jaffry, Shabbar; Marchenko, German - In: Applied Econometrics 27 (2012) 3, pp. 3-19

The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of...

Persistent link: https://www.econbiz.de/10010840999

Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries

Grigoryev, Ruslan; Jaffry, Shabbar; Marchenko, German - In: Applied Econometrics 26 (2012) 2, pp. 92-112

The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the...

Persistent link: https://www.econbiz.de/10010841033

Multivariate Volatility Impulse Response Analysis of GFC News Events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

GARCH model featuring pre-whitened return series, which are then analysed using both BEKK and diagonal BEKK models with the …

Persistent link: https://www.econbiz.de/10011403543

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

Persistent link: https://www.econbiz.de/10011586699

Ten things you should know about the dynamic conditional correlation representation

Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126

extremely small; DCC cannot be distinguished empirically from diagonal Baba, Engle, Kraft and Kroner (BEKK) in small systems … 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 …

Persistent link: https://www.econbiz.de/10010421297

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

GARCH model featuring pre-whitened return series, which are then analysed using both BEKK and diagonal BEKK models with the …

Persistent link: https://www.econbiz.de/10011301206