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Multiple or Simultaneous Equation Models; Multiple Variables x Financial Markets x clear all

Exceedance Correlation Tests for Financial Returns

Yi-Ting Chen.

in Journal of Financial Econometrics

June 2016; p ublished online July 2015 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; International Financial Markets. 13912 words.

It has become popular to explore the static conditional correlation structure of financial returns by using the exceedance correlations or similar measures. In this article, we propose a...

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Manuel A. Hernandez, Raul Ibarra and Danilo R. Trupkin.

in European Review of Agricultural Economics

April 2014; p ublished online August 2013 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; International Financial Markets; Agricultural Economics. 8979 words.

This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, Europe and Asia. We follow a multivariate GARCH approach and account...

Modeling Realized Covariances and Returns

Xin Jin and John M. Maheu.

in Journal of Financial Econometrics

March 2013; p ublished online November 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Financial Forecasting and Simulation; Econometric Modelling. 10604 words.

This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison...

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Variance-of-Variance Risk Premium

Andreas Kaeck.

in Review of Finance

July 2018; p ublished online March 2017 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics; International Financial Markets. 12839 words.

Abstract

This article explores the premium for bearing the variance risk of the VIX index, called the variance-of-variance risk premium. I find that during the...