1,720,973 research outputs found
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Get PDFThe Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate portfolio returns. The purpose of the paper is to estimate accurate 10-day-ahead 99% VaR forecasts for real estate markets along with stock markets for seven countries across the world (USA, UK, GERMANY, JAPAN, AUSTRALIA, HONG KONG and SINGAPORE) following the Basel Committee requirements for financial regulation.
A fourteen-dimensional multivariate Diag-VECH model for seven equity indices and their relative real estate indices is estimated. We evaluate the VaR forecasts over a period of two weeks in calendar time, or 10 trading days, and at 99% confidence level based on the Basle Committee on Banking Supervision requirements.
The Basel regulations require 10-day-ahead 99% VaR forecasts. This is the first study that provides successful evidence for 10-day-ahead 99% VaR estimations for real estate markets. Additionally, we provide evidence that there is a statistically significant relationship between the magnitude of the 10-day-ahead 99%VaR and the level of dynamic correlation for real estate and stock market indices; a valuable recommendation for risk managers who forecast risk across markets.
Risk managers, investors and financial institutions require dynamic multi-period VaR forecasts that will take into account properties of financial time series. Such accurate dynamic forecasts lead to successful decisions for controlling market risks
Positive feedback trading and long-term volatility links: evidence from real estate markets of USA, Be/Lux and Switzerland
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Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis
No full textThe Euro Area faces plenty of financial and economic asymmetries on account of the dissimilar economies’ participation in the union. The long-term financial integration of the EA member-states constitutes a significant task for the EU policy makers in business and economic terms. This letter investigates the degree of stock markets integration in the Eurozone after the end of 2010 debt-crisis. The results reveal that the stock market integration be strong between Germany and EA core member-states but disparate for the EA periphery. In contrast, there are only indications regarding the EA Eastern Mediterranean and Baltic stock markets integration with DAX-30.4610242
Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states
No full textThe financial integration among the member-states in the long run inside the union constitutes an important task of the EU officials and policy makers. The sovereign-debt crisis of the Eurozone decelerated its economic integration and subsequently increased the unwillingness of the non-euro member-states to join the monetary union. In the light of this background, the research aim of this manuscript is to examine the bond markets integration among the EU CEE non-euro countries and the EA Big-5 economies. The empirical evidence supports that the Eastern member-states’ bond markets integration is heterogeneous and disparate. Lastly, the directional volatility spillovers, unveil that the volatility effects on the EU CEE non-euro bond markets are diversified revealing the leading role of EA core bond markets.6310182
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Energy commodities and advanced stock markets: A post-crisis approach
No full textThe debate between the stock markets and the energy markets is a research matter which has always concerned the academia across the globe. This study attempts to answer the question whether there are realized linkages and volatility responses between the energy markets (crude oil and natural gas) and the stock market indices in five advanced economies during the post-global financial crisis era of 2008. Firstly, we took the impact of 166th OPEC meeting into consideration which as a matter of fact, represents the commencement of four continuous cycles of OPEC oil output policy for the 21st century. The results highly support that in the long run, there are strong dynamics between the energy markets and the developed stock markets. Every stock index indicates high resilience against the long-term volatility responses of each energy commodity. Furthermore, the prices of oil and gas seem to greatly influence the Japanese stock market index.7010188
BREXIT referendum’s impact on the financial markets in the UK
No full textBREXIT might be considered the most paramount event of the past 40 years in modern English history. The present research attempts to examine the impact of BREXIT referendum vote on the British financial markets. The authors examine the impact of money and capital markets on the forex markets in the UK. In their research, they utilize the ECM-Realized-EGARCH model. Their findings support that there is an excess volatility on the GBP after BREXIT vote. In particular, a momentum investing strategy crash led to the excess volatility on the UK financial markets. Finally, they found out that a further devaluation of the GBP is likely, which may lead to an additional decrease of GBP value especially against the euro and the US dollar in the near future after BREXIT.15711
Scandinavia: Towards the European Monetary Union?
No full textThe EU faces the most important structural crisis of its history, especially after the debt crisis of 2010 in the Euro Area, where the weaknesses of the European common currency were totally unveiled. The main purpose of this paper is to examine if the economies of Scandinavia are historically vulnerable and bound to the European economy (Euro Area). This would aid the further integration of the EU in the long run. Our analysis used the real effective exchange rates of Denmark, Norway, Sweden and Iceland, as a research instrument, by using the Error Correction Model (ECM) and the Asymmetric Dynamic Conditional Correlation GARCH model. Our empirical findings highly support that the economies of Denmark, Norway and Sweden are positively bound to the European economy. On the other hand, the economy of Iceland does not show integration with the European economy, despite its EEA membership. Furthermore, we found out that the currencies of Sweden, Norway and Denmark are more vulnerable to the market positive shock responses of the euro instead of negative shock responses. Finally, our study proposes that Sweden and Denmark might need to re-examine a possible EMU membership and Norway may reconsider a potential EU status. However, there are not enough evidence to provide a similar policy for Iceland.7427829
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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