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  1. A financial stress index for the United Kingdom
    Author: Chatterjee, Somnath; Chiu, Ching Wai Jeremy; Duprey, Thibaut; Hacıoǧlu Hoke, Sinem
    Published: December 2017
    Publisher:  Bank of England, London

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    Format: Online
    Series: Staff working paper / Bank of England ; no. 697
    Subjects: Financial stress index; AUROC; GARCH; threshold VAR
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  2. Bitcoin is not the new gold
    a comparison of volatility, correlation, and portfolio performance
    Author: Klein, Tony; Thu, Hien Pham; Walther, Thomas
    Published: May 21, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance... more

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    Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with flight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reflect any distinctive properties of Gold other than asymmetric response in variance

     
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    Series: Working papers on finance ; no. 2018, 12
    Subjects: BEKK; Bitcoin; CRIX; Cryptocurrency; Gold; GARCH; Conditional Correlation; Asymmetry; Long Memory
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
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    Working Paper Version 2 - May 21, 2018
  3. Exogenous drivers of cryptocurrency volatility
    a mixed data sampling approach to forecasting
    Author: Walther, Thomas; Klein, Tony
    Published: June 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction... more

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    We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers

     
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    Series: Working papers on finance ; no. 2018, 15
    Subjects: Bitcoin; Cryptocurrencies; GARCH; Mixed Data Sampling; Volatility
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
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    Working Paper Version 1 - June 7, 2018
  4. Value-at-risk prediction using option-implied risk measures
    Author: Schindelhauer, Kai; Chen Zhou
    Published: [2018]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 613 (October 2018)
    Subjects: Implied Quantile; GARCH; Quantile Regression; Comparative Backtest
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  5. Modeling and forecasting commodity market volatility with long-term economic and financial variables
    Author: Nguyen, Duc Khuong; Walther, Thomas
    Published: December 3, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

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    Series: Working papers on finance ; no. 2018, 24
    Subjects: Commodity futures; GARCH; Long-term volatility; Macroeconomic effects; Mixeddata sampling
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  6. Asset pricing with observable stochastic discount factors
    Published: Mar. 2002
    Publisher:  Dep. of Economics and Related Studies, Univ. of York, York

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    Edition: [Elektronische Ressource]
    Series: Discussion papers in economics ; 2002,03
    Subjects: CAPM; Zinsstruktur; Diskontierung; Theorie; GARCH
    Scope: Online-Ressource, 51 p., text
  7. International asset pricing and the benefits from world market diversification
    Published: 01. Febr. 2002
    Publisher:  Dep. of Economics, Lund

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    Edition: [Elektronische Ressource]
    Series: Working paper / Department of Economics, Lund University ; 2002,1
    Subjects: CAPM; Portfolio-Management; Schätzung; Welt; GARCH
    Scope: Online-Ressource, 44 p., text, ill
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    nBibliography
  8. Forecasting stock market volatility and the informational efficiency of the DAX-index options market
    Author: Claessen, Holger; Mittnik, Stefan
    Published: 2002
    Publisher:  CFS, Frankfurt am Main

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    Media type: Book
    Format: Print
    Series: CFS working paper ; No. 2002,04
    Subjects: Börsenkurs; Volatilität; Prognoseverfahren; Zeitreihenanalyse; Index-Futures; Effizienzmarkthypothese; ARCH-Modell; Theorie; Deutschland; GARCH
    Scope: 27 S, graph. Darst, 21 cm
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  9. Measuring Interdependence of Inflation Uncertainty
    Author: Lee, Seohyun
    Published: 2022
    Publisher:  SSRN, [S.l.]

    The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to... more

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    The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate VAR GARCH model. The interdependence of uncertainty is estimated using a probability model. The results imply that the spillover of uncertainty is stronger for uncertainty about distant future than near future. The evidence from quantile regressions shows that such empirical method could suffer from bias if endogeneity is not properly addressed. To identify structural parameters in an endogeneity representation of interdependence, we exploit heteroskedasticity in the data across different regimes determined by the ratio of variances. The results no longer exhibit stronger interdependence at longer horizons. Estimated by different sample periods, the strength of the propagation of inflation uncertainty intensifies during the Global Financial Crisis while the interdependence significantly weakens during the post-crisis period

     
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    Series: KDI School of Pub Policy & Management Paper ; No. 04, 2022
    Subjects: inflation uncertainty; interdependence; GARCH; copulas; at-risk; conditional forecasting; identification through heteroskedasticity
    Scope: 1 Online-Ressource (43 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 11, 2022 erstellt
  10. GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
    Author: Buczyński, Mateusz; Chlebus, Marcin
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 8 = 356
    Subjects: Value-at-Risk; GARCH; neural networks; LSTM
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  11. HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
    Author: Woźniak, Michał; Chlebus, Marcin
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 10 = 358
    Subjects: Value at Risk; Hierarchical Correlation Reconstruction; GARCH; Standardized Residuals
    Scope: 1 Online-Ressource (circa 37 Seiten)
  12. The stock market effects of committing and setting GHG targets
    evidence from the science-based initiative
    Author: Guerrero-Escobar, Santiago; Hernández del Valle, Gerardo; Hernández Vega, Marco; Mora, Paula de la
    Published: November 2023
    Publisher:  [Banco de México], [Ciudad de México, México]

    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the... more

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    Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this paper analyzes the short-run effects of committing and setting GHG targets on public companies' stock price returns and volatility. We find no evidence that committing or setting a target yields higher returns but contributes to a reduction in price volatility, albeit the impact is short-lived. In view of these results, we conclude that there are no visible stock market gains in the short term for companies that commit and set GHG targets and that other factors may explain their motivations to engage in GHG mitigation actions.

     
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    Series: Working papers / Banco de México ; no 2023, 15
    Subjects: Stock returns; Volatility; GHG emissions; ESG; GARCH
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  13. Foreign exchange intervention rule for central banks
    risk-based framework
    Author: Lafarguette, Romain; Veyrune, Romain
    Published: February 2021
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk... more

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    This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data between 2008 and 2016

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
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    ISBN: 9781513569406
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    Series: IMF working paper ; WP/21, 32
    Subjects: Foreign Exchange Interventions; Value at Risk; GARCH
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  14. Can the Lasota (1977)'s model compete with the Mackey-Glass (1977)'s model in nonlinear modelling of financial time series?
    Author: Hennani, Rachida
    Published: 2015
    Publisher:  United de Formation et de Recherche d'Economie, Montpellier

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    Series: Document de recherche / LAMETA ; 2015-09
    Subjects: nonlinearity; Lasota’s model; Mackey-Glass’s model; GARCH; chaos; Value-at-Risk
    Scope: Online-Ressource (34 S.), graph. Darst.
  15. Weak diffusion limits of dynamic conditional correlation models
    Author: Hafner, Christian M.; Laurent, Sébastien; Violante, Francesco
    Published: April 13, 2016
    Publisher:  Centre for Operations Research and Econometrics, Louvain-la-Neuve

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    Other identifier:
    hdl: 2078.1/173539
    Series: CORE discussion papers ; 2016, 09
    Subjects: diffusion limits; GARCH; quasi approximate maximum likelihood
    Scope: 1 Online-Ressource (circa 34 Seiten)
  16. Markov switching GARCH models for Bayesian hedging on energy futures markets
    Author: Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony
    Published: [2014]
    Publisher:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Series: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2014, no. 07
    Subjects: Energy futures; GARCH; Hedge ratio; Markov-switching
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  17. On the volatility of cryptocurrencies
    Author: Stengos, Thanasēs; Panagiōtidēs, Theodōros; Papapanagiotou, Georgios
    Published: [2022]
    Publisher:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    Series: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Subjects: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  18. Temporal networks in the analysis of financial contagion
    Author: Franch, Fabio; Nocciola, Luca; Vouldis, Angelos
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and... more

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    This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the dynamics of financial contagion as it is transmitted across segments of the financial system and jurisdictions. Temporal centralities identify countries in distress as the nodes through which contagion propagates. Moreover, the banking system emerges as the primary source and transmitter of stress while banks and shadow banks are highly interconnected. The insurance sector is found to contribute less to stress transmission in all periods, except during the global financial crisis. Our approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes that are critical for the transmission of financial contagion.

     
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    ISBN: 9789289951166
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    hdl: 10419/264492
    Series: Working paper series / European Central Bank ; no 2667 (June 2022)
    Subjects: Financial networks; Granger causality-in-tail; GARCH; non-Markovian; systemicrisk
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  19. Augmented real-time GARCH
    a joint model for returns, volatility and volatility of volatility
    Author: Ding, Dexter
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2112
    Subjects: GARCH; diffusion limit; forecasting; volatility of volatility
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  20. Diffusion limits of real-time GARCH
    Author: Ding, Yashuang
    Published: [2020]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 20112
    Subjects: GARCH; RT-GARCH; SV; diffusion limit
    Scope: 1 Online-Ressource (circa 16 Seiten)
  21. Weak diffusion limit of real-time GARCH models
    the role of current return information
    Author: Ding, Yashuang
    Published: [2020]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 20112
    Cambridge-INET working paper series ; 2020, 53
    Subjects: GARCH; RT-GARCH; SV; diffusion limit; high frequency data
    Scope: 1 Online-Ressource (circa 31 Seiten)
  22. The effectiveness of Value-at-Risk models in various volatility regimes
    Author: Schiffers, Aleksander; Chlebus, Marcin
    Published: 2021
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2021, 28 = 376
    Subjects: risk management; market risk; Value-at-risk; GARCH; Historical Simulation; Risk Metrics; risk modelling; benchmark; model quality assessment
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  23. Export performance and exchange rate volatility
    evidence from the WAMZ
    Author: Tarawalie, Abu Bakarr; Sissoho, Momodu; Conte, Mohamed; Ahortor, Christian R.
    Published: December, 2013
    Publisher:  West African Monetary Institute (WAMI), Accra, Ghana

    This paper examines the relationship between exchange-rate volatility and export performance in the WAMZ countries using quarterly data for the period 1990-2010. The paper utilizes the Engel-Granger Dynamic OLS (DOLS) estimation technique as well as... more

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    This paper examines the relationship between exchange-rate volatility and export performance in the WAMZ countries using quarterly data for the period 1990-2010. The paper utilizes the Engel-Granger Dynamic OLS (DOLS) estimation technique as well as the Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) approach to model the real exchange rate volatility. In conformity with theoretical considerations, the results indicate that increases in the exchange-rate volatility exert a significant negative effect upon export in Liberia, Nigeria and Sierra Leone. While a positive relationship is established in the case of The Gambia, exchange-rate volatility impact on Ghana and Guinea is insignificant. The results also reveal a positive relationship between terms of trade and export performance for all the countries, indicating that improvement in terms of trade trigger increases in export performance in the WAMZ countries. Income from the rest of the world is found to have a positive effect on export performance in the WAMZ countries. The study also finds that real effective exchange rate has a negative impact on export performance in the case of The Gambia, Ghana and Nigeria, while a positive relationship is established in the case of Guinea and Liberia. However, while a positive relationship is revealed for Sierra Leone in the long run, its impact in the short run is negative. A key lesson arising from this study is that trade policy actions aimed at stabilizing the export market are likely to generate uncertain results, at best, if policymakers in the WAMZ countries ignore the stability as well as the level of the real exchange rate. Thus, if policymakers wish to target exports, policies which will ensure stability of the exchange rate should be of outmost importance.

     
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    hdl: 10419/264216
    Series: WAMI occasional paper series ; vol. 1, no. 5
    Subjects: Exchange rate volatility; Engel-Granger Dynamic OLS; export performance; GARCH; WAMZ
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  24. Conditional heteroskedasticity in the volatility of asset returns
    Author: Ding, Yashuang
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1362
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    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Cambridge working paper in economics ; 2179
    Janeway Institute working paper series ; 2021, 11
    Subjects: GARCH; SHARV; volatility; volatility of volatility; forecasting
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  25. The impact of the ECB banking supervision announcements on the EU stock market
    Author: Baglioni, Angelo; Monticini, Andrea; Peel, David
    Published: [2021]
    Publisher:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to... more

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 587
    Inter-library loan:
    No inter-library loan

     

    We study the impact of ECB's supervisory announcements on the Bank Stock index, from 2013 through 2017. Our evidence shows that the news, related to supervisory actions, do have highly significant effects on the market price of banks, contributing to the volatility of the Bank Stock Index for Europe and Italy. Most announcements signal the need to raise more regulatory capital and lead to negative returns in the stock market, thus increasing the cost of raising new capital. Our study is related to previous ones (by Bernanke and Kuttner) focusing on the impact of monetary policy announcements on the stock exchange.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264300
    Series: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 112 (November 2021)
    Subjects: Banking Supervision; ECB; GARCH; Stock Market
    Scope: 1 Online-Ressource (circa 22 Seiten)