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This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …
Persistent link: https://www.econbiz.de/10012972144
the financial instruments in the portfolio and on the volatility of those returns. This task is relatively simple if the … correlations and volatilities do not change over time. But in reality both volatility and stock market indexes’ correlations do …
Persistent link: https://www.econbiz.de/10014236561
studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …
Persistent link: https://www.econbiz.de/10012513279
allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility … GARCH processes ; volatility feedback …
Persistent link: https://www.econbiz.de/10003764299
results show that asymmetric models generally outperform symmetric ones, indicating that a correlation between volatility and … returns plays an important role for volatility forecasting. Additionally, models utilizing a logarithmic transformation of the …
Persistent link: https://www.econbiz.de/10011818288
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
This study examines the interdependence between the daily euro zone sovereign CDS index and four financial market sectors such as, banking CDS market (CDSb), underlying sovereign market (BONDs), stock market (BMI) and future interest rate benchmark of the bunds obligation (EUROBOBL). Focusing on...
Persistent link: https://www.econbiz.de/10011751879
Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent … relative to macroeconomic predictors. We contendthat these sets of predictors impact volatility at different frequencies. We …
Persistent link: https://www.econbiz.de/10013244692
realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …
Persistent link: https://www.econbiz.de/10009734341
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700