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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2012
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …
Persistent link: https://www.econbiz.de/10013101365
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Correlation and Volatility Dynamics in REIT Returns : Performance and Portfolio Considerations
Fei, Peng - 2010
We examine the dynamics in correlations and volatility of REITs, stock and direct real estate returns using the monthly … data from Jan 1987 to May 2008. To explore asymmetries in conditional correlation, the multivariate asymmetric dynamic … diagonal conditional correlation (AD‐DCC) GARCH specification is utilized in this paper. We document that the time …
Persistent link: https://www.econbiz.de/10013145401
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …
Persistent link: https://www.econbiz.de/10003821063
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The contribution of realized covariance models to the economic value of volatility timing
Bauwens, Luc; Xu, Yongdeng - 2023
allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …
Persistent link: https://www.econbiz.de/10014434629
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Do we need non-linear models to predict REIT returns?
Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - 2013
We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...
Persistent link: https://www.econbiz.de/10010206925
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Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006
This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...
Persistent link: https://www.econbiz.de/10011346450
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Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...
Persistent link: https://www.econbiz.de/10011520881
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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States
Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232
Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …
Persistent link: https://www.econbiz.de/10011296721
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DCC-HEAVY : a multivariate GARCH model with realized measures of variance and correlation
Xu, Yongdeng - 2019
This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model …
Persistent link: https://www.econbiz.de/10012009351
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135