Testing Constancy of Correlation with an Application to International Equity Returns
Author : Anil K. Bera
Publisher :
Page : pages
File Size : 20,13 MB
Release : 1996
Category :
ISBN :
Author : Anil K. Bera
Publisher :
Page : pages
File Size : 20,13 MB
Release : 1996
Category :
ISBN :
Author : Anil K. Bera
Publisher :
Page : pages
File Size : 48,19 MB
Release : 2001
Category :
ISBN :
Author : Anil K. Bera
Publisher :
Page : pages
File Size : 36,20 MB
Release : 2000
Category :
ISBN :
Author : W. Jos Jansen
Publisher :
Page : 28 pages
File Size : 44,63 MB
Release : 2011
Category :
ISBN :
We investigate shifts in correlation patterns among international equity returns at the market level as well as the industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then derive a Lagrange Multiplier statistic to test the constant-correlation hypothesis directly. Applying the test to weekly data from Germany, Japan, the UK and the US in the period 1980-2000, we find that correlations among the German, UK and US stock markets have doubled, whereas Japanese correlations have remained the same. Both dates of change and speeds of adjustment vary widely across countries and sectors.
Author : Francois M. Longin
Publisher :
Page : 24 pages
File Size : 20,2 MB
Release : 2017
Category :
ISBN :
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using ldquo;extreme value theoryrdquo; to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data on the five largest stock markets from 1958 to 1996, we reject the null hypothesis of multivariate normality for the negative tail, but not for the positive tail. We also find that correlation is not related to market volatility per se but to the market trend. Correlation increases in bear markets, but not in bull markets.
Author : François M. Longin
Publisher :
Page : 44 pages
File Size : 19,5 MB
Release : 2000
Category : International finance
ISBN :
Author : Hamid Seddighi
Publisher : Routledge
Page : 391 pages
File Size : 49,82 MB
Release : 2013-03-01
Category : Business & Economics
ISBN : 1136586105
This book constitutes the first serious attempt to explain the basics of econometrics and its applications in the clearest and simplest manner possible. Recognising the fact that a good level of mathematics is no longer a necessary prerequisite for economics/financial economics undergraduate and postgraduate programmes, it introduces this key subdivision of economics to an audience who might otherwise have been deterred by its complex nature.
Author : Chris Brooks
Publisher : Cambridge University Press
Page : 729 pages
File Size : 37,77 MB
Release : 2019-03-28
Category : Business & Economics
ISBN : 1108422535
Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.
Author : Evdokia Xekalaki
Publisher : John Wiley & Sons
Page : 558 pages
File Size : 46,95 MB
Release : 2010-03-18
Category : Mathematics
ISBN : 9780470688021
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Author : Panos Pardalos
Publisher : Springer Nature
Page : 252 pages
File Size : 17,6 MB
Release : 2020-02-13
Category : Business & Economics
ISBN : 3030371107
This book presents the best papers from the 1st International Conference on Mathematical Research for Blockchain Economy (MARBLE) 2019, held in Santorini, Greece. While most blockchain conferences and forums are dedicated to business applications, product development or Initial Coin Offering (ICO) launches, this conference focused on the mathematics behind blockchain to bridge the gap between practice and theory. Every year, thousands of blockchain projects are launched and circulated in the market, and there is a tremendous wealth of blockchain applications, from finance to healthcare, education, media, logistics and more. However, due to theoretical and technical barriers, most of these applications are impractical for use in a real-world business context. The papers in this book reveal the challenges and limitations, such as scalability, latency, privacy and security, and showcase solutions and developments to overcome them.