Do structural breaks in volatility cause spurious volatility transmission?

Journal of Empirical Finance - Tập 55 - Trang 60-82 - 2020
Massimiliano Caporin1, Farooq Malik2
1Department of Statistical Sciences, University of Padova, 35121, Padova, Italy
2College of Business, Zayed University, 19282 Dubai, United Arab Emirates

Tóm tắt

Từ khóa


Tài liệu tham khảo

Aggarwal, 1999, Volatility in emerging markets, J. Financ. Quant. Anal., 34, 33, 10.2307/2676245

Baillie, 1990, A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets, J. Int. Money Finance, 9, 309, 10.1016/0261-5606(90)90012-O

Billio, 2010, Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion, Comput. Statist. Data Anal., 54, 2443, 10.1016/j.csda.2009.03.018

Billio, 2006, Flexible dynamic conditional correlation multivariate GARCH for asset allocation, Appl. Financ. Econ. Lett., 2, 123, 10.1080/17446540500428843

Bollerslev, 1990, Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach, Rev. Econ. Stat., 72, 498, 10.2307/2109358

Caporin, 2017, Systemic co-jumps, J. Financ. Econ., 126, 563, 10.1016/j.jfineco.2017.06.016

Caporin, 2015, Proximity-structured multivariate volatility models, Econometric Rev., 34, 559, 10.1080/07474938.2013.807102

Cheung, 1996, A causality-in-variance test and its application to financial market prices, J. Econometrics, 72, 33, 10.1016/0304-4076(94)01714-X

Christoffersen, 2009, Value-at-risk models

Comte, 2003, Asymptotic theory for multivariate GARCH processes, J. Multivariate Anal., 84, 61, 10.1016/S0047-259X(02)00009-X

van Dijk, 2005, Testing for causality in variance in the presence of breaks, Econom. Lett., 89, 193, 10.1016/j.econlet.2005.05.029

Engle, 1990, Meteor showers or heat waves?: Heteroscedasticity intra-daily volatility in the foreign exchange markets, Econometrica, 58, 525, 10.2307/2938189

Engle, 1995, Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122, 10.1017/S0266466600009063

Engle, 1993, Common volatility in international equity markets, J. Bus. Econom. Statist., 11, 167, 10.1080/07350015.1993.10509945

Ewing, 2005, Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance, J. Bank. Financ., 29, 2655, 10.1016/j.jbankfin.2004.10.002

Ewing, 2010, Estimating volatility persistence in oil prices under structural breaks, Financ. Rev., 45, 1011, 10.1111/j.1540-6288.2010.00283.x

Fan, 2016, Estimation and hedging effectiveness of time-varying hedge ratio: Nonparametric approaches, J. Futures Mark., 36, 968, 10.1002/fut.21766

Fleming, 1998, Information and volatility linkages in the stock, bond, and money markets, J. Financ. Econ., 49, 111, 10.1016/S0304-405X(98)00019-1

Forbes, 2002, No contagion, only interdependence: Measuring stock market comovements, J. Finance, 57, 2223, 10.1111/0022-1082.00494

Francq, 2016, Estimating multivariate volatility models equation by equation, J. R. Stat. Soc. Ser. B Stat. Methodol., 78, 613, 10.1111/rssb.12126

Hafner, 2009, A generalized dynamic conditional correlation model: simulation and application to many assets, Econometric Rev., 28, 612, 10.1080/07474930903038834

Haigh, 2002, Crack spread hedging: Accounting for time-varying volatility spillovers in the energy futures markets, J. Appl. Econometrics, 17, 269, 10.1002/jae.628

Hamao, 1990, Correlations in price changes and volatility across international stock markets, Rev. Financ. Stud., 3, 281, 10.1093/rfs/3.2.281

He, 2004, An extended constant conditional correlation GARCH model and its fourth-moment structure, Econometric Theory, 20, 904, 10.1017/S0266466604205059

Hong, 2001, A test for volatility spillover with application to exchange rates, J. Econometrics, 103, 183, 10.1016/S0304-4076(01)00043-4

Huang, 2012, Volatility transmission across stock index futures when there are structural changes in return variance, Appl. Financial Econ., 22, 1603, 10.1080/09603107.2012.669459

Inclan, 1994, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Amer. Statist. Assoc., 89, 913

Karolyi, 1995, A multivariate GARCH model of international transmission of stock returns and volatility: The case of the United States and Canada, J. Bus. Econom. Statist., 13, 11, 10.1080/07350015.1995.10524575

King, 1994, Volatility and links between national stock markets, Econometrica, 62, 901, 10.2307/2951737

King, 1990, Transmission of volatility between stock markets, Rev. Financ. Stud., 3, 5, 10.1093/rfs/3.1.5

Kroner, 1998, Modeling asymmetric comovements of asset returns, Rev. Financ. Stud., 11, 817, 10.1093/rfs/11.4.817

Kroner, 1993, Time varying distributions and dynamic hedging with foreign currency futures, J. Financ. Quant. Anal., 28, 535, 10.2307/2331164

Lamoureux, 1990, Persistence in variance, structural change and the GARCH model, J. Bus. Econom. Statist., 8, 225, 10.1080/07350015.1990.10509794

Lien, 2010, A note on the relationship between the variability of the hedge ratio and hedging performance, J. Futures Mark., 30, 1100, 10.1002/fut.20455

Lien, 2010, The effects of structural breaks and long memory on currency hedging, J. Futures Mark., 30, 607, 10.1002/fut.20436

Lin, 1994, Do bulls and bears move across borders? international transmission of stock returns and volatility, Rev. Financ. Stud., 7, 507, 10.1093/rfs/7.3.507

Ling, 2003, Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory, 19, 278, 10.1017/S0266466603192092

Lloyd, 2005, Estimating power adjusted for size, J. Stat. Comput. Simul., 75, 921, 10.1080/00949650412331321160

Marcelo, 2008, Sudden shifts in variance in the spanish market: Persistence and spillover effects, Appl. Financial Econ., 18, 115, 10.1080/09603100601057862

Mikosch, 2004, Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects, Rev. Econ. Stat., 86, 378, 10.1162/003465304323023886

Pedersen, 2017, Inference and testing on the boundary in extended constant conditional correlation GARCH models, J. Econometrics, 196, 23, 10.1016/j.jeconom.2016.09.004

Rapach, 2008, Structural breaks and GARCH models of exchange rate volatility, J. Appl. Econometrics, 23, 65, 10.1002/jae.976

Rodrigues, 2007, Testing for causality in variance under nonstationarity in variance, Econom. Lett., 97, 133, 10.1016/j.econlet.2007.02.032

Ross, 1989, Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy, J. Finance, 44, 1, 10.1111/j.1540-6261.1989.tb02401.x

Sanso, 2004, Testing for change in the unconditional variance of financial time series, Rev. Econ. Financ., 4, 32

Starica, 2005, Nonstationarities in stock returns, Rev. Econ. Stat., 87, 503, 10.1162/0034653054638274

Wang, 2015, Hedging with futures: Does anything beat the naive hedging strategy?, Manage. Sci., 61, 2870, 10.1287/mnsc.2014.2028

Wu, 2016