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The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

Karkowska, Renata - Wydział Zarządzania, Uniwersytet Warszawski - 2013

the level of market volatility. Particularly important are the growing share of the links between hedge funds and other … was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in … results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge …

Persistent link: https://www.econbiz.de/10011099738

Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures

Herrmann, Klaus; Teis, Stefan; Yu, Weijun - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2014

The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction … data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are … realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the …

Persistent link: https://www.econbiz.de/10011099957

Range-based Volatility Estimation and Forecasting

Bencik, Daniel - Institut ekonomických studií, Univerzita Karlova v Praze - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

Persistent link: https://www.econbiz.de/10011099986

Business Cycle Variability and Growth Linkage

Nkwoma, Inekwe John - Department of Econometrics and Business Statistics, … - 2014

This study contributes in bridging the dichotomy between economic growth and business cycle paradigms by providing dynamic characterisation of the link between economic growth, risk aversion, uncertainty and variability in industrial production, consumption and investment. In a system of...

Persistent link: https://www.econbiz.de/10011100028

Energy markets volatility modelling using GARCH

Efimova, Olga; Serletis, Apostolos - In: Energy Economics 43 (2014) C, pp. 264-273

This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature...

Persistent link: https://www.econbiz.de/10011100067

Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat

Sadorsky, Perry - In: Energy Economics 43 (2014) C, pp. 72-81

negative residuals tend to increase the variance (conditional volatility) more than positive ones. Correlations between these …

Persistent link: https://www.econbiz.de/10011100112

Potential Output, Output Gap, and Inflation in Italy in the Long Term (1861-2010): An Econometric Analysis

Baffigi, Alberto; Bontempi, Maria Elena; Golinelli, Roberto - Banca d'Italia - 2013

We exploit the new historical national accounts data for Italy over the period 1861-2010, built by Banca d'Italia and Istat, with the collaboration of the University of Rome "Tor Vergata". In the first part of the paper, a thorough study of the new data's statistical properties is presented...

Persistent link: https://www.econbiz.de/10011105101

An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns

Rodriguez, Gabriel; Tramontana, Roxana - Departamento de Economía, Pontificia Universidad … - 2014

Empirical research indicates that the volatility of stock return time series have long memory. However, it has been … (RLS) model using the approach of Lu and Perron (2010) and Li and Perron (2013) for the volatility of daily stocks returns … suggest that the level shifts in the volatility of daily stocks returns data are infrequent but once they are taken into …

Persistent link: https://www.econbiz.de/10011105601

Does Oil Price Uncertainty Matter for Stock Returns in South Africa?

Aye, Goodness C. - Department of Economics, Faculty of Economic and … - 2014

This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that covers the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price...

Persistent link: https://www.econbiz.de/10011106157

Terms of Trade Volatility and Economic Growth in Sub-Saharan Africa

Awel, Ahmed Mohammed - Volkswirtschaftliche Fakultät, … - 2012

This paper investigated the effect of terms of trade growth and its volatility on economic growth in Sub-Saharan Africa … effect on economic growth. Furthermore, the result proved that volatility of net barter terms of trade and income terms of … volatility measures. …

Persistent link: https://www.econbiz.de/10011107298