| 1. |
- Asgharian, Hossein, et al.
(författare)
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Jump Spillover in International Equity Markets
- 2006
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 4:2, s. 167-203
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Tidskriftsartikel (refereegranskat)abstract
- In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of countries and the probabilities that jumps in large countries cause jumps or unusually large returns in other countries. In all cases, we find significant evidence of jump spillover. In addition, we find that jump spillover seems to be particularly large between countries that belong to the same regions and have similar industry structures, whereas, interestingly, the sample correlations between the countries have difficulties in capturing the jump spillover effects.
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| 2. |
- Asgharian, Hossein, et al.
(författare)
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation : The DCC-MIDAS Specification
- 2016
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 14:3, s. 617-642
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Tidskriftsartikel (refereegranskat)abstract
- We investigate long-run stock–bond correlation using a model that combines the dynamic conditional correlation model with the mixed-data sampling approach and allows long-run correlation to be affected by macro-finance factors (historical and forecasts). We use macro-finance factors related to inflation and interest rates, illiquidity, state of the economy, and market uncertainty. Macro-finance factors, particularly their forecasts, are good at forecasting long-run stock–bond correlation. Supporting the flight-to-quality phenomenon, long-run correlation tends to be small and negative when the economy is weak.
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| 3. |
- Forsberg, Lars, et al.
(författare)
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Why do absolute returns predict volatility so well?
- 2007
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 5:1, s. 31-67
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Tidskriftsartikel (refereegranskat)abstract
- Our objective is volatility forecasting, which is core to many risk management problems. We provide theoretical explanations for (i) the empirical stylized fact recognized at least since Taylor (1986) and Ding, Granger, and Engle (1993) that absolute returns show more persistence than squared returns and (ii) the empirical finding reported in recent work by Ghysels, Santa-Clara, and Valkanov (2006) showing that realized absolute values outperform square return-based volatility measures in predicting future increments in quadratic variation. We start from a continuous time stochastic volatility model for asset returns suggested by Barndorff-Nielsen and Shephard (2001) and study the persistence and linear regression properties of various volatility-related processes either observed directly or with sampling error. We also allow for jumps in the asset return processes and investigate their impact on persistence and linear regression. Extensive empirical results complement the theoretical analysis.
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| 4. |
- He, Changli, et al.
(författare)
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Parameterizing unconditional skewness in models for financial time series
- 2008
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Ingår i: Journal of Financial Econometrics. - 1479-8409 .- 1479-8417. ; 6:2, s. 208-230
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution
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| 5. |
- Hecq, Alain, et al.
(författare)
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Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
- 2023
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8417 .- 1479-8409. ; 21:3, s. 915-958
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Tidskriftsartikel (refereegranskat)abstract
- We develop an LM test for Granger causality in high-dimensional (HD) vector autoregressive (VAR) models based on penalized least squares estimations. To obtain a test retaining the appropriate size after the variable selection done by the lasso, we propose a post-double-selection procedure to partial out effects of nuisance variables and establish its uniform asymptotic validity. We conduct an extensive set of Monte-Carlo simulations that show our tests perform well under different data generating processes, even without sparsity. We apply our testing procedure to find networks of volatility spillovers and we find evidence that causal relationships become clearer in HD compared to standard low-dimensional VARs.
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| 6. |
- Hou, Ai Jun, et al.
(författare)
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Pricing Cryptocurrency Options
- 2020
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 18:2, s. 250-279
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Tidskriftsartikel (refereegranskat)abstract
- Cryptocurrencies (CCs), especially bitcoin (BTC), which comprises a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the CC/BTC include a high level of speculation, extreme volatility and price discontinuity. We propose a pricing mechanism based on a stochastic volatility with a correlated jump (SVCJ) model and compare it to a flexible cojump model by Bandi and Renò (2016). The estimation results of both models confirm the impact of jumps and cojumps on options obtained via simulation and an analysis of the implied volatility curve. We show that a sizeable proportion of price jumps is significantly and contemporaneously anticorrelated with jumps in volatility. Our study comprises pioneering research on pricing BTC options. We show how the proposed pricing mechanism underlines the importance of jumps in CC markets.
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| 7. |
- Nguyen, Hoang, 1989-, et al.
(författare)
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Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
- 2019
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press. - 1479-8409 .- 1479-8417. ; 17:1, s. 118-151
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Tidskriftsartikel (refereegranskat)abstract
- To account for asymmetric dependence in extreme events, we propose a dynamic generalized hyperbolic skew Student-t factor copula where the factor loadings follow generalized autoregressive score processes. Conditioning on the latent factor, the components of the return series become independent, which allows us to run Bayesian estimation in a parallel setting. Hence, Bayesian inference on different specifications of dynamic one factor copula models can be done in a few minutes. Finally, we illustrate the performance of our proposed models on the returns of 140 companies listed in the S&P500 index. We compare the prediction power of different competing models using value-at-risk (VaR), and conditional VaR (CVaR), and show how to obtain optimal portfolios in high dimensions based on minimum CVaR.
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| 8. |
- Poon, Aubrey, 1987-, et al.
(författare)
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Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach
- 2024
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press. - 1479-8409 .- 1479-8417.
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Tidskriftsartikel (refereegranskat)abstract
- We introduce a novel multinomial logistic model for detecting and forecasting concurrent recessions and bear markets across multiple countries. Our framework leverages cross-country panel features and provides additional information for robust analysis. Through a comprehensive simulation study, we demonstrate the computational efficiency and accuracy of our model, even when handling multiple binary indicators. Applying our framework to empirical data from the United States, the UK, and Euro Area, we find that the multinomial logistic model produces superior medium-term forecasting of concurrent recession and bear market events across countries compared to multiple independent single logistic models. Additionally, our counterfactual analysis reveals that specific events, such as a recession and bear market in the United States, along with the tightening of financial conditions and a negative interest rate spread in the United States, increase the probability of concurrent and individual recession and bear market occurrences in the UK and Euro Area.
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| 9. |
- Vilhelmsson, Anders, et al.
(författare)
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Measuring Event Risk
- 2009
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 7:3, s. 265-287
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Tidskriftsartikel (refereegranskat)abstract
- This paper decomposes the popular risk measure Value-at-Risk (VaR) into one jump- and one continuous component. The continuous component corresponds to general market risk and the jump component is proportional to the event risk as defined in the Basel II accord. We find that event risk, which is currently not incorporated into most banks’ VaR models, comprises a substantial part of total VaR. It constitutes 30% of the risk for a portfolio of small cap stocks but less than 1% for a portfolio of large cap stocks. The national supervising agency in each membership country is advised by the Basel rules to add an additional capital charge to a bank whose models do not capture event risk. The large variation in event risk, also found across 10 individual stocks, suggests that an approach that varies the capital surcharge, based on the type of asset, should be used by the supervisors.
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| 10. |
- Westerlund, Joakim
(författare)
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Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis
- 2007
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Ingår i: Journal of Financial Econometrics. - : Oxford University Press (OUP). - 1479-8409 .- 1479-8417. ; 5:3, s. 491-522
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Tidskriftsartikel (refereegranskat)abstract
- This article proposes a bias-adjusted estimator for use in cointegrated panel regressions when the errors are cross-sectionally correlated through an unknown common factor structure. The asymptotic distribution of the new estimator is derived and is examined in small samples using Monte Carlo simulations. For the estimation of the number of factors, several information-based criteria are considered. The simulation results suggest that the new estimator performs well in comparison to existing ones. In our empirical application, we provide new evidence suggesting that the forward rate unbiasedness hypothesis cannot be rejected.
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