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Asymmetric Dynamics In The Correlations Of Global Equity And Bond Returns
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Book Synopsis Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns by : Lorenzo Cappiello
Download or read book Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns written by Lorenzo Cappiello and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the presence of asymmetric conditional second moments in international equity and bond returns. The analysis is carried out through an asymmetric version of the Dynamic Conditional Correlation model of Engle (2002). Widespread evidence is found that national equity index return series show strong asymmetries in conditional volatility, while little evidence is seen that bond index returns exhibit this behaviour. However, both bonds and equities exhibit asymmetry in conditional correlation. Worldwide linkages in the dynamics of volatility and correlation are examined. It is also found that beginning in January 1999, with the introduction of the Euro, there is significant evidence of a structural break in correlation, although not in volatility. The introduction of a fixed exchange rate regime leads to near perfect correlation among bond returns within EMU countries. However, equity return correlation both within and outside the EMU also increases after January 1999.
Book Synopsis Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns by : Lorenzo Cappiello
Download or read book Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns written by Lorenzo Cappiello and published by . This book was released on 2003 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets by : Abderrahim Taamouti
Download or read book Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets written by Abderrahim Taamouti and published by . This book was released on 2009 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: How the correlation between equity returns behaves during market turmoils has been an issue of discussion in the international finance literature. Some research suggest an increase of correlation during volatile periods [Ang and Bekaert, 2002], while others argue its stability [Forbes and Rigobon, 2002]. In this paper, we study the impact of returns and volatility on correlation between international equity markets. Our objective is to determine if there is any asymmetry in correlation and identify the main explanation for this asymmetry. Within a framework of autoregressive models we quantify the relationship between return, volatility, and correlation using the generalized impulse response function and we test for the asymmetries in the return-correlation and volatility-correlation relationships. We also examine the implications of these asymmetric effects for the optimal international portfolio. Empirical evidence using weekly data on US, Canada, UK, and France equity indices, show that without taking into account the effect of return, there is an asymmetric impact of volatility on correlation. The volatility seems to have more impact on correlation during market upturn periods than during downturn periods. However, once we introduce the effect of return, the asymmetric impact of volatility on correlation disappears. These observations suggest that, the relation between volatility and correlation is an association rather than a causality. The strong increase in the correlation is driven by the market direction and the level of return rather than the level of the volatility. These results are confirmed using some tests of the asymmetry in volatility-correlation and return-correlation relationships in separate models and then in a joint model. Finally, we find that taking into account the asymmetric effect of return on correlation leads to an average financial gain ranged between 3.35 and 37.25 basis points for optimal international diversification.
Book Synopsis Global Risk Aversion and International Return Comovements by : Nancy R. Xu
Download or read book Global Risk Aversion and International Return Comovements written by Nancy R. Xu and published by . This book was released on 2019 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: I establish three stylized facts about global equity and bond return comovements: Equity return correlations are higher, asymmetric, and countercyclical, whereas bond return correlations are lower, symmetric, and weakly procyclical. To interpret these stylized facts, I formulate a dynamic no-arbitrage asset pricing model that consistently prices international equities and bonds; the model features various time-varying global macroeconomic uncertainties and risk aversion of a global investor. I find that different sensitivities of equity returns (strongly negative) and bond returns (weakly positive or negative) to the global risk aversion shock can explain the observed comovement differences. Global risk aversion explains 90% (40%) of the fitted global equity (bond) comovement dynamics.
Book Synopsis Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022) by : Faruk Balli
Download or read book Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022) written by Faruk Balli and published by Springer Nature. This book was released on 2022-12-28 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. As a leading role in the global megatrend of scientific innovation, China has been creating a more and more open environment for scientific innovation, increasing the depth and breadth of academic cooperation, and building a community of innovation that benefits all. Such endeavors are making new contributions to the globalization and creating a community of shared future. To adapt to this changing world and China's fast development in the new era, The 2022 International Conference on Economics, Smart Finance and Contemporary Trade to be held in July 2022. This conference takes "bringing together global wisdom in scientific innovation to promote high-quality development" as the theme and focuses on cutting-edge research fields including Economics, Smart Finance and Contemporary Trade. This conference aims to boost development of the Greater Bay Area, expand channels of international academic exchange in science and technology, build a sharing platform of academic resources, promote scientific innovation on the global scale, strengthen academic cooperation between China and the outside world, enhance development of new energy and materials and IT, AI, and biomedicine industries. It also aims to encourage exchange of information on frontiers of research in different areas, connect the most advanced academic resources in China and the world, turn research results into industrial solutions, and bring together talents, technologies and capital to boost development.
Book Synopsis Anticipating Correlations by : Robert Engle
Download or read book Anticipating Correlations written by Robert Engle and published by Princeton University Press. This book was released on 2009-01-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
Book Synopsis Modelling Financial Time Series by : Stephen J. Taylor
Download or read book Modelling Financial Time Series written by Stephen J. Taylor and published by World Scientific. This book was released on 2008 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Book Synopsis Macroeconomic Forecasting in the Era of Big Data by : Peter Fuleky
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Book Synopsis Advances in Pacific Basin Business, Economics and Finance by : Cheng-Few Lee
Download or read book Advances in Pacific Basin Business, Economics and Finance written by Cheng-Few Lee and published by Emerald Group Publishing. This book was released on 2023-05-01 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Pacific Basin Business, Economics and Finance (APBBEF) is an annual series designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries.
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis The European Sovereign Debt Crisis and Its Impacts on Financial Markets by : Go Tamakoshi
Download or read book The European Sovereign Debt Crisis and Its Impacts on Financial Markets written by Go Tamakoshi and published by Routledge. This book was released on 2015-02-11 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis saw many Eurozone countries bearing excessive public debt. This led the government bond yields of some peripheral countries to rise sharply, resulting in the outbreak of the European sovereign debt crisis. The debt crisis is characterized by its immediate spread from Greece, the country of origin, to its neighbouring countries and the connection between the Eurozone banking sector and the public sector debt. Addressing these interesting features, this book sheds light on the impacts of the crisis on various financial markets in Europe. This book is among the first to conduct a thorough empirical analysis of the European sovereign debt crisis. It analyses, using advanced econometric methodologies, why the crisis escalated so prominently, having significant impacts on a wide range of financial markets, and was not just limited to government bond markets. The book also allows one to understand the consequences and the overall impact of such a debt crisis, enabling investors and policymakers to formulate diversification strategies, and create suitable regulatory frameworks.
Book Synopsis Applied Quantitative Finance by : Wolfgang Karl Härdle
Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 :1484348761 Total Pages :152 pages Book Rating :4.4/5 (843 download)
Book Synopsis Global Financial Stability Report, April 2018 by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Global Financial Stability Report, April 2018 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2018-04-18 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The April 2018 Global Financial Stability Report (GFSR) finds that short-term risks to financial stability have increased somewhat since the previous GFSR. Medium-term risks are still elevated as financial vulnerabilities, which have built up during the years of accommodative policies, could mean a bumpy road ahead and put growth at risk. This GFSR also examines the short- and medium-term implications for downside risks to growth and financial stability of the riskiness of corporate credit allocation. It documents the cyclical nature of the riskiness of corporate credit allocation at the global and country levels and its sensitivity to financial conditions, lending standards, and policy and institutional settings. Another chapter analyzes whether and how house prices move in tandem across countries and major cities around the world—that is, global house price synchronicity.
Book Synopsis Freight Derivatives and Risk Management in Shipping by : Manolis G. Kavussanos
Download or read book Freight Derivatives and Risk Management in Shipping written by Manolis G. Kavussanos and published by Taylor & Francis. This book was released on 2021-04-29 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced practical textbook deals with the issue of risk analysis, measurement and management in the shipping industry. It identifies and analyses the sources of risk in the shipping business and explores in detail the “traditional” and “modern” strategies for risk management at both the investment and operational levels of the business. The special features and characteristics of all available freight derivative products are compared and contrasted between them. Practical applications of derivatives are showcased through realistic practical examples, while a number of concepts across the contents of this book appear for the first time in the literature. The book also serves as “the reference” point for researchers in the area, helping them to enhance their knowledge of risk management and derivatives in the shipping industry, but also to students at both undergraduate and postgraduate levels. Finally, it provides a comprehensive manual for practitioners wishing to engage in the financial risk management of maritime business. This second edition has been fully updated in order to incorporate the numerous developments in the industry since its first edition in 2006. New chapters have been introduced on topics such as Market Risk Measurement, Credit Risk and Credit Derivatives, and Statistical Methods to Quantify Risk. Furthermore, the second edition of this book builds upon the successful first edition which has been extensively (i) taught in a number of Universities around the world and (ii) used by professionals in the industry. Shipowners, professionals in the shipping industry, risk management officers, credit officers, traders, investors, students and researchers will find the book indispensable in order to understand how risk management and hedging tools can make the difference for companies to remain competitive and stay ahead of the rest.
Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella
Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Book Synopsis Portfolio Diversification by : Francois-Serge Lhabitant
Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
