1,721,149 research outputs found
The Role of Jumps in Realized Volatility Modeling and Forecasting
No full textBuilding on an extensive empirical analysis, I investigate the relevance of jumps and signed variations in predicting realized volatility. I show that properly accounting for intra-day volatility patterns and staleness sensibly reduces the identified jumps, in particular for low and moderate liquidity assets. Modeling realized variance using jumps and intra-day return sign improves the in-sample fit of commonly adopted specifications, irrespective of assets liquidity. From a forecasting perspective, the empirical evidence I report shows that most models, independently from their flexibility, are statistically equivalent in many cases. These results are confirmed with different samples, assets liquidity level, forecast horizons, and possible transformations of the dependent and explanatory variables
A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
No full textforthcoming Mathematics and Computers in Simulatio
A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
No full textWorking paper 0405 GRETA, Venezi
On the Ordering of Dynamic Principal Components and the Implications for Portfolio Analysis
Full text linkWhen principal component analysis is used on a rolling or conditional setting, ordering and incoherence issues may emerge. We provide empirical evidence supporting this claim and introduce an algorithm that allows dynamic reordering of the principal components (PCs). We provide additional results that shed light on the consequences of incoherence when analyzing the link between PCs and macroeconomic risk factors, with a focus on the COVID-19 pandemic period. When PCs are optimally reordered, the roles of factors emerge more clearly, with relevant implications for risk management
Cross-company jump spillover and the role of news
Full text linkWe study how jumps spillover and the cross-company impact of firm-specific unscheduled news on jumps between economic sectors. To this end, we employ high-frequency data of 220 constituents of the Russell 3000 index equally divided into eleven sectors. Using conditional jump probabilities, we find that jump spillover is a pervasive phenomenon enhanced when jumps cluster and that firm-specific news, especially from the financial sector, boosts the jump spillover effect. Volatility following spillover jumps is significantly higher than usual, except when firm-specific news is released around the jump provoking the spillover
Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion
Full text linkWorking paper 0602 GRETA, Venezi
Dynamic network analysis of North American financial institutions
Full text linkWe propose a state-space model to estimate the dynamic network among financial institutions selected from STOXX600 North America in the period from January 2005 to May 2020. We measure the network strength and find that the spillover effect increases significantly during the 2008 financial crisis and the coronavirus pandemic. Using weekly updates of the weight matrix, we detect four time-varying communities. Three communities mostly include companies of the financial supersectors, while the remaining includes Canadian companies. Furthermore, the communities centralities peak during the 2008 financial crisis, while during the COVID-19 period lower values are estimated
Spatial effect of biomass energy consumption on carbon emissions reduction: the role of globalization
No full textAs globalization proceeds, increasing biomass energy consumption is an important pathway to replace fossil fuels for tackling climate change by reducing emissions. This study explores the spatial spillover effect in biomass energy carbon reduction, which is frequently ignored when investigating environmental factors. It uncovers whether globalization and its dimensions can strengthen the spatial effect of biomass energy carbon reduction. Besides, we reveal whether biomass energy consumption can promote CO2 emissions reduction while ensuring economic progress. Results show that (1) owing to the spillover effect, biomass energy consumption plays a significant role in direct and indirect enhancing carbon emissions reduction, with their feedback effects of − 0.003 or 3.3% of the direct effect. (2) Increasing overall, social and political globalization enhances biomass energy consumption’s carbon reduction effect. (3) In countries with higher economic development, overall, economic and political globalization has a better promotion in the spatial effect of biomass energy carbon reduction. (4) Developing biomass energy can support the environment quality while enhancing economic growth
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Full text linkBy analyzing a very large dataset of high-frequency returns, we propose two indexes informative of the occurrence of multiple co-jumps in the cross-section of US equities. These indexes have important implications not only in asset allocation and hedging but also in asset pricing. Notably, the two diffusion indexes capture a part of the variation in stocks' returns which is not explained by the capital asset pricing model's traditional factors. Besides, the empirical results provide evidence of interesting relations between contemporaneous jumps, stock size and capitalization
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