(2012). Time-varying leverage effects. Journal of Econometrics, 169:94-113.F. Bandi, R. Ren`o, Time-varying leverage effects, Journal of Econometrics 169 (1) (2012), 94-113.Bandi, F., and R. Reno` (2012): "Time-Varying Leverage Effects," Journal of Econometrics, 12, 94-113....
This paper proposes a realized stochastic volatility model with time-varying leverage effect (hereafter the RSV-TVL model), in which the time-varying leverage effect is modelled based on a linear spline. The model parameters are estimated by using the maximum likelihood method based on a ...
Estimates of these factors and their time-varying variances are obtained using a Kalman Filter-based Full Information Maximum Likelihood method. Using monthly data on sixteen markets it is found that idiosyncratic risk is significantly priced, and that the "price of risk" is not common across ...
Spill over effects of futures contracts initiation on the cash market: a regime shift approach effect, the time varying risk premium, the decomposition of the day of the week effect, the leptokurtosis and the skewness of the returns' distributions... GA Karathanassis,VI Sogiakas - 《Review of...
This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B-share markets, with a focus placed on the following issues: changing weak-form efficiency, the leverage effect, and information transmission in return volatility. We find that the A-...
In the model, the leverage choice of banks depends on the volatility of aggregate shocks. In low volatility periods, financial intermediaries lever up, which makes their balance sheets more sensitive to aggregate shocks and the financial accelerator more effective. On the contrary, in high ...
Time-Series Event Prediction with Evolutionary State Graph WSDM 2021 Code link DJIA30, WebTraffic, NetFlow, ClockErr, and AbServe proposed a novel represen- tation, the evolutionary state graph, to present the time-varying re- lations among time-series states. Long Horizon Forecasting With Tempora...
(FLIM)12, and autoradiographic imaging methods13. These tools allow for selective visualization of topical drug uptake at varying spatial resolutions. When drugs have fluorescence properties, TPEF can be a powerful tool for visualizing drug delivery. It is well suited for visualizing drug fluorescence...
摘要: This study estimates the time-varying REIT betas with a structural time series model using monthly REIT return data for the periods from 1972 to 2013. Based on the FTSE-NAREIT return indices for the...关键词: Time-varying beta Systematic risk Leverage effects Deleveraging Equity REITs ...
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