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排序方式: 共有964条查询结果,搜索用时 31 毫秒
1.
Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover. 相似文献
2.
VaR及对证券投资基金的VaR测算 总被引:5,自引:0,他引:5
本在对VaR方法的分析的基础上,选择了GAROH模型度量证券投资基金的风险,并计算了样本期间22只基金的VaR值。在此基础上给出了各基金对应的RAROC值,并对结果进行了分析。 相似文献
3.
邱小欢 《对外经济贸易大学学报》2011,(1):15-24
基于代表性家庭追求效用最大化,文中构建了一个由外国实际收入、汇率水平、货物出口以及经GARCH(1,1)模型估计所得条件方差作为汇率风险代理变量组成的服务出口方程.采用自回归分布滞后估计方程参数,并将汇率变动影响货物出口进而传导至服务出口的间接效应纳入分析框架.估计结果显示,汇率水平变动与服务出口之间存在负相关关系,而... 相似文献
4.
预防性储蓄模型及其不确定性分解 总被引:4,自引:0,他引:4
本文构造了一个包含不确定性和消费增长率的预防性储蓄模型。将引致预防性储蓄的总不确定性分解成两个成分:利率波动的不确定性和消费增长率波动的不确定性;分别用利率的条件方差和消费增长率的条件方差度量不确定性。此外,本文还使用GARCH模型模拟上述两个条件方差,使对预防性储蓄的实证分析成为可能。 相似文献
5.
This paper provides a new perspective on the link between gold prices and exchange rates. Based on gold prices denominated in five different currencies and the related bilateral exchange rates, we put causalities and short-run volatility transmission under closer scrutiny. We provide evidence that the identification of a strong hedge function of gold requires an explicit modeling of the volatility component. For all currencies, exchange rate depreciations initially have a negative impact on the gold price after one day which turns out to be positive after two days in most of the cases. Contrary to previous studies, our results point to a specific role of the dollar in the context of gold-exchange rate relationships: volatility of dollar exchange rates more frequently results in strong hedging functions of gold prices. Furthermore, the gold price denominated in the US dollar tends to increase after a depreciation of the dollar. 相似文献
6.
A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to approximate option prices, resulting in a set of cross-equation restrictions on the model’s parameters. The full model is characterized by a nonlinear system of three equations containing asset returns, the realized variance, and the VIX, with estimation of the parameters based on maximum likelihood methods. The forecasting properties of the new class of forecasting models, as well as a number of special cases, are investigated and applied to forecasting the daily S&P500 index realized variance using intra-day and daily data from September 2001 to November 2017. The forecasting results provide strong support for including the realized variance and the VIX to improve variance forecasts, with linear conditional variance models performing well for short-term one-day-ahead forecasts, whereas log-linear conditional variance models tend to perform better for intermediate five-day-ahead forecasts. 相似文献
7.
This article analyzes the use of model selection criteria for detecting nonlinearity in the residuals of a linear model. Model selection criteria are applied for finding the order of the best autoregressive model fitted to the squared residuals of the linear model. If the order selected is not zero, this is considered as an indication of nonlinear behavior. The BIC and AIC criteria are compared to some popular nonlinearity tests in three Monte Carlo experiments. We conclude that the BIC model selection criterion seems to offer a promising tool for detecting nonlinearity in time series. An example is shown to illustrate the performance of the tests considered and the relationship between nonlinearity and structural changes in time series. 相似文献
8.
9.
Julien Chevallier 《Applied economics》2013,45(32):4257-4274
Previous literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the interrelationships between energy and emissions markets shall be modelled in a Vector Autoregressive (VAR) and Multivariate GARCH (MGARCH) framework, so as to reflect the dynamics of the correlations between the oil, gas and CO2 variables overtime. Using the Baba–Engle–Kraft–Kroner (BEKK), Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation MGARCH (DCC-MGARCH) models on daily data from April 2005 to December 2008, we highlight significant own-volatility, cross-volatility spillovers, and own persistent volatility effects for nearly all markets, indicating the presence of strong Autoregressive Conditional Heteroscedasticity (ARCH) and GARCH effects. Besides, we provide strong empirical evidence of time-varying correlations in the range of [?0.3;?0.3] between oil and gas, [?0.05;?0.05] between oil and CO2, and [?0.2;?0.2] between gas and CO2, that have not been considered by previous studies. These findings are of interest for traders and utilities in the energy sector, but also for a broader applied economics audience. 相似文献
10.
Gabriel J. Power Dmitry V. Vedenov David P. Anderson Steven Klose 《Applied economics》2013,45(27):3891-3903
Commodity cash and futures prices experienced a severe boom-and-bust cycle between 2006 and 2009. Increases in commodity price volatility have raised concerns about the usefulness of commodity futures and options as risk management tools. Dynamic hedging strategies have the potential to improve risk management when conditional (co)variances depart significantly from their unconditional, long-run counterparts and may be useful to decision-makers despite their greater complexity and higher transaction costs. We propose a Nonparametric Copula-based Generalized Autoregressive Conditional Heteroscedastic (NPC-GARCH) approach to estimate time-varying hedge ratios, and evaluate the benefits of dynamic hedging during four sub-periods between 2000 and 2011 using a stylized Texas cattle feedlot management problem. The NPC-GARCH approach allows for a flexible, nonlinear and asymmetric dependence structure between cash and futures prices for different commodities. We find that NPC-GARCH dynamic hedging performs better than either static, GARCH-Dynamic Conditional Correlation (DCC) or GARCH-Baba, Engle, Kraft and Kroner (BEKK) hedging in terms of lower tail risk (expected shortfall), but that there is no significant difference between hedging approaches in terms of portfolio variance reduction. 相似文献