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.Bandi, F. and R. Reno` (2011b). Time-varying leverage effects. Journal of Econometrics. ...
Time-varying leverage effectLinear splineContinuous particle filterThis 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 ...
We assess the relevance of the effects of “the volatility of volatility” and time-varying “leverage” to the out-of-sample forecasting performance of the model, and evaluate the density of forecasts of market volatility. Empirical results show that our specification can outperform the benchmark...
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-...
1. Volatility Clustering, Leverage Effects and Risk-Return Trade-Off in the Nigerian Stock Market [J] . Wilson E. Herbert, Georgina O. Ugwuanyi, Ernest I. Nwaocha Journal of Finance and Economics . 2019,第1期 机译:尼日利亚股票市场中的波动性聚集,杠杆效应和风险收益权衡 2. The Risk-Ret...
They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between regimes over time is smooth. A ...
First, compared to mothers with matched working time preferences, the positive association between mothers’ overemployment and their own work-life conflict remain significant (p < 0.001) among mothers with varying job autonomy. This implies that the negative effects of overemployment persist even...
Hedge funds have time-varying (dynamic)risk exposure.对冲基金的风险敞口随时间变化(动态)。 Fung and Hsieh,1997 Agarwal and Naik,2004 Chen and Liang,2007 Bollen and Whaley,2009 Patton and Ramadorai,2011 Market-wide liquidity matters for hedge funds 对冲基金的全市场流动性问题 The LTCM case The re...
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 ...
In this paper, we investigate the time-varying effects of geopolitical risks on various natural resources prices from October 1992 to October 2022. We divided natural resources into three groups: minerals, precious metals and industrial metals. The hybrid TVP-VAR model is utilized in order to solv...