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News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news. We describe the asymptotic properties of our...

Persistent link: https://www.econbiz.de/10013406297

Extreme Downside Risk and Financial Crises

Harris, Richard D. F. - 2015

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

Persistent link: https://www.econbiz.de/10013015516

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10010281581

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...

Persistent link: https://www.econbiz.de/10010281599

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524

Stock-Bond Correlation : A Global Perspective

Weisberger, Noah; Xu, Xiang - 2022

Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been … much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their … stock-bond correlations have, by and large, been negative, matching the US experience. Negative stock-bond correlation …

Persistent link: https://www.econbiz.de/10013404695

Are Islamic Equity Markets 'Safe Havens'? Exploring the Contagion Effects between Metal Future Markets and Malaysian Islamic Bonds Using DCC-FIGARCH During the Recent Global Financ...

Tsiaras, Konstantinos - 2022

Islāmic bonds. We apply twelve six variate dynamic conditional correlation (DCC) FIGARCH models in order to capture potential …

Persistent link: https://www.econbiz.de/10013298571

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

-section of long-term bond returns after accounting for standard bond pricing factors …

Persistent link: https://www.econbiz.de/10012848481

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The within …

Persistent link: https://www.econbiz.de/10011603089