Results 271 to 280 of about 505,642 (295)

Predicting volatility and correlations with Financial Conditions Indexes

Journal of Empirical Finance, 2014
We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock returns of US deposit banks during the period 1994–2011, and ...
Anne Opschoor, Dick van Dijk, Michel van der Wel   +2 more
openaire   +4 more sources

Mortgage Terminations: The Role of Conditional Volatility [PDF]

Journal of Real Estate Research, 2002
This article is the winner of the Real Estate Finance manuscript prize (sponsored by Fannie Mae Foundation) presented at the 2001 American Real Estate Society Annual Meeting.Studies of mortgage termination decisions typically rely on a competing risks framework comparing defaults and prepayments.
David M. Harrison, Thomas G. Noordewier, K. Ramagopal   +2 more
openaire   +1 more source

Modeling the dependence of conditional correlations on volatility [PDF]

, 2013
Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the correlations.
L. Bauwens, E. Otranto
openaire   +1 more source

Credit risk modeling under conditional volatility [PDF]

, 2014
The accuracy of measuring credit risk directly decides on the interest on credit, which has to be paid when raising a credit, and the amount of capital to keep in reserve by a firm. The structural credit risk model proposed by Merton (1974) lays the groundwork for the assessment of a firm's credit risk by its default probability.
Rohde, Johannes, Sibbertsen, Philipp
openaire   +1 more source

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, 2016
Until recently the liquidity of financial assets has typically beenviewed as a second-order consideration. Liquidity was frequently associatedwith simple transaction costs that impose - temporary if any- effect on assetprices, and whose shocks could be easily diversified away.
Darolles, Serge, Francq, Christian, Le Fol, Gaëlle, Zakoïan, Jean-Michel   +3 more
openaire   +3 more sources

Forecasting stock market volatility conditional on macroeconomic conditions. [PDF]

, 2007
This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the macroeconomic information available (and/or forecasts)is used in ...
Ralf Becker, Adam Clements
openaire  

Volatility Dependent Conditional Correlation Models

2013
Several models have been developed to capture the dynamics of the con- ditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the correlations.We extend some models to capture explicitly the ...
Bauwens L., OTRANTO, Edoardo
openaire   +4 more sources

Exponentiation of conditional expectations under stochastic volatility

Quantitative Finance, 2020
Jim Gatheral, Elisa Aloš, Rados Radoičić   +2 more
exaly  

Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models

Mathematics, 2021
Enrique Jiménez-Rodríguez
exaly  

Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries

Journal of Risk and Financial Management, 2023
Imad Mostafa, M K Alam
exaly