Structural Breaks And Financial Volatility PDF Download
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| Author | : Elena Andreou |
| Publisher | : |
| Total Pages | : 55 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Structural Breaks in Financial Time Series Book in PDF, ePub and Kindle
This paper reviews the literature on structural breaks in financial time series. First we discuss the implications of structural breaks in financial time series for statistical inference purposes. In the second section we discuss the relevant asymptotic results and issues involved in general classifications of change-point tests in financial time series such historical versus sequential tests, parametric versus nonparametric tests and single versus multiple break tests. The third section reviews a number of structural change tests by focusing on certain characteristics or moments of financial time series such as structural break tests in the financial asset returns and volatility, long memory, tails and distribution. In addition, we review changepoint tests for the co-dependence between financial asset returns processes in the context of multivariate volatility models, copulae and last but not least asset pricing. In concluding we provide some areas of future research in the subject.
| Author | : Duc Khuong Nguyen |
| Publisher | : |
| Total Pages | : |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility Book in PDF, ePub and Kindle
The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. We first estimate a bivariate GARCH-M model to obtain conditional volatility series for each market. Second, we test for significant structural breaks in the conditional volatility series to determine whether the observed break dates coincide with any of the stock market reforms. Third, the effect of liberalization policy on market volatility is formally tested using a pooled time-series cross-section estimation that includes a host of explanatory variables in addition to market reform variables. Overall, the results indicate that structural breaks in the dynamic patterns of the sample emerging market volatility do not happen together with official liberalization dates, but they coincide with ADR/Country Fund dates and with dates of large increases in the US capital flows. The pooled estimation generally supports the findings from structural break analysis. Hence, it is possible to claim that liberalization methods other than liberalization via a formal policy decree are the ones that significantly affect volatility.
| Author | : Lucía Morales |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Structural Breaks and Financial Volatility Book in PDF, ePub and Kindle
Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research have been found regarding to the BRIC financial markets and the effects of the 2007-2009 World economy crisis. This lack of research might appear as surprising given that energy markets are of particular interest as they are considered a fundamental reference for economic recovery and growth. Therefore, this work aims to address this gap on the literature by looking at the BRIC financial markets and their co-movements with regard to some energy markets (oil, natural gas and electricity) and also to the international pressures that may arise from fluctuations originated in the US stock markets. This research major findings show compelling evidence highlighting the weak integration levels that exist among the Chinese financial markets, energy markets and the US stock market. On the other hand, the Brazilian, Indian and Russian markets are found to be more sensitive to international shocks arisen from US markets and also to energy markets instability, especially with regard to oil market uncertainty. -- BRIC ; Energy Markets ; GARCH ; T-GARCH modeling ; Volatility
| Author | : Elena Andreou |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Detecting Multiple Breaks in Financial Market Volatility Dynamics Book in PDF, ePub and Kindle
The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the conditional variance under various realistic univariate heteroskedastic models, change-point hypotheses and sampling schemes. The paper concludes with an empirical analysis using data from the stock and FX markets for which we find multiple breaks associated with the Asian and Russian financial crises. These events resulted in changes in the dynamics of volatility of asset returns in the samples prior and post the breaks.
| Author | : Chun Liu |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Are There Structural Breaks in Realized Volatility? Book in PDF, ePub and Kindle
Constructed from high-frequency data, realized volatility (RV) provides an accurate estimate of the unobserved volatility of financial markets. This paper uses a Bayesian approach to investigate the evidence for structural breaks in reduced form time-series models of RV. We focus on the popular heterogeneous autoregressive (HAR) models of the logarithm of realized volatility. Using Monte Carlo simulations we demonstrate that our estimation approach is effective in identifying and dating structural breaks. Applied to daily S, and P 500 data from 1993-2004, we find strong evidence of a structural break in early 1997. The main effect of the break is a reduction in the variance of log-volatility. The evidence of a break is robust to different models including a GARCH specification for the conditional variance of log(RV).
| Author | : Kyongwook Choi |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility Book in PDF, ePub and Kindle
We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long-memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized volatility. We propose a VAR-RV-Break model that provides superior predictive ability when the timing of future breaks is known. With unknown break dates and sizes, we find that a VAR-RV-I(d) long memory model provides a robust forecasting method even when the true financial volatility series are generated by structural breaks.
| Author | : Anindya Banerjee |
| Publisher | : |
| Total Pages | : 373 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Modelling Structural Breaks, Long Memory and Stock Market Volatility Book in PDF, ePub and Kindle
| Author | : D.R. Cox |
| Publisher | : CRC Press |
| Total Pages | : 243 |
| Release | : 2020-11-26 |
| Genre | : Mathematics |
| ISBN | : 1000152944 |
Download Time Series Models Book in PDF, ePub and Kindle
The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
| Author | : David E. Rapach |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 691 |
| Release | : 2008-02-29 |
| Genre | : Business & Economics |
| ISBN | : 044452942X |
Download Forecasting in the Presence of Structural Breaks and Model Uncertainty Book in PDF, ePub and Kindle
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
| Author | : Robert Maderitsch |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Structural Breaks in Volatility Spillovers Between International Financial Markets Book in PDF, ePub and Kindle
This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous Autoregressive Distributed Lag Model as our baseline econometric specification. Motivated by the presence of various crisis events contained in our sample, we detect time-variation and structural breaks in volatility spillovers. Particularly during the financial crisis of 2007, we find effects consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding volatilities. Investigating the role of mean breaks and conditional heteroskedasticity in the realized volatilities, however, we find the latter to be the main driver of breaks in volatility spillovers. Taking the volatility of realized volatilities into account, we find no evidence of contagion anymore.
