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Volatility spillover between Germany, France, and CEE stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Journal of business economics and management 23 (2022) 6, pp. 1280-1298

financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical … results obtained for the period January 2001 - September 2021 highlight the increase in volatility spillover between the …

Persistent link: https://www.econbiz.de/10013500945

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2021

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...

Persistent link: https://www.econbiz.de/10012655372

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

Persistent link: https://www.econbiz.de/10011711085

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370

Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Persistent link: https://www.econbiz.de/10003747371

Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F. - 2017

provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …

Persistent link: https://www.econbiz.de/10012976219

Bitcoin's Price Alchemy : Unraveling the Influence of Macro Announcements on Volatility and Trading Volume in an Era of Rising Inflation

Johansson, Andreas; Vilhelmsson, Anders - 2023

massive impact on Bitcoin's realized volatility and volume. However, this effect is a recent phenomenon, which started as …

Persistent link: https://www.econbiz.de/10014350108

Do Short Selling Restrictions Destabilize Stock Returns? Lessons from Taiwan

Bohl, Martin T. - 2011

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Persistent link: https://www.econbiz.de/10013125910

Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan

Bohl, Martin T. - 2011

Persistent link: https://www.econbiz.de/10013126007

Short and long-term effects of September 11 on stock returns : evidence from US defense firms

Essadam, Naceur; Douch, Mohamed - In: Journal of applied finance & banking 3 (2013) 3, pp. 239-253

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …

Persistent link: https://www.econbiz.de/10009743349