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  1. Asymmetric impact of real effective exchange rate changes on domestic output revisited
    evidence from Egypt
    Autor*in: Sharaf, Mesbah Fathy; Shahen, Abdelhalem Mahmoud
    Erschienen: March 2022
    Verlag:  University of Alberta, Faculty of Arts, Department of Economics, [Edmonton, Alberta]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 566
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    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / University of Alberta, Faculty of Arts, Department of Economics ; no. 2022, 06
    Schlagworte: Asymmetric effects; Domestic output; Egypt; ARDL; Real effective exchange rate
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Exponential high-frequency-based-volatility (EHEAVY) models
    Autor*in: Xu, Yongdeng
    Erschienen: March 2022
    Verlag:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 159
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    This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is applied to 31 assets extracted from the Oxford-Man Institute’s realized library. The empirical results show that the dynamic of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not by the realized return shock). Hence, both return and realized measure are included in the return volatility equation. Out-of-sample forecast and portfolio exercise further shows the superior forecasting performance of the EHEAVY model, in both statistical and economic sense.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/261233
    Schriftenreihe: Cardiff economics working papers ; no. E2022, 5
    Schlagworte: HEAVY model; High-frequency data; Asymmetric effects; Realized variance; Portfolio
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
    Bemerkung(en):

    Richtiger Name der Verfasser:in: Yongdeng Xu
  3. Asymmetric correlations and hedging effectiveness of cryptocurrencies for the European stock market
    Autor*in: Gambarelli, Luca; Marchi, Gianluca; Muzzioli, Silvia
    Erschienen: January 2022
    Verlag:  nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi, [Modena]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 654
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: DEMB working paper series ; n. 205
    Schlagworte: Cryptocurrencies; Hedging; Asymmetric effects; Stock market returns; Covid-19 outbreak
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  4. Good vs. bad volatility in major cryptocurrencies
    the dichotomy and drivers of connectedness
    Autor*in: Sila, Jan; Kočenda, Evžen; Krištoufek, Ladislav; Kukacka, Jiri
    Erschienen: [2023]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness... mehr

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    DS 167
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    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. The results suggest that crypto connectedness reflects important events and exhibits more variable and cyclical dynamics than those of traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over substantially faster than news about comparable market surges. Overall, the connectedness dynamics are predominantly driven by fundamental crypto factors, while the asymmetry measure also depends on macro factors such as the VIX index and the expected inflation.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/286353
    Schriftenreihe: IES working paper ; 2023, 24
    Schlagworte: Volatility; Dynamic connectedness; Asymmetric effects; Cryptocurrency
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen