Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Vasiliki D. Skintzi"'
Publikováno v:
Applied Economics. :1-22
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::936aa3c0544c9947c8d21456717e4985
https://doi.org/10.1080/00036846.2023.2186366
https://doi.org/10.1080/00036846.2023.2186366
Publikováno v:
Journal of Forecasting. 39:200-219
The availability of numerous modeling approaches for volatility forecasting leads to model uncertainty for both researchers and practitioners. A large number of studies provide evidence in favor of combination methods for forecasting a variety of fin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::669979cd281bf7e7065fd1784c76b001
https://doi.org/10.1002/for.2622
https://doi.org/10.1002/for.2622
Autor:
Vasiliki D. Skintzi
Publikováno v:
International Review of Financial Analysis. 61:20-28
This paper examines the dynamic relationship between stock and bond returns in eleven Eurozone countries during the last seventeen years. The literature so far reports heterogeneous results with respect to the important determinants of the stock-bond
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95c4ec2a1747bf07abf7be60be7e79d6
https://doi.org/10.1016/j.irfa.2018.12.005
https://doi.org/10.1016/j.irfa.2018.12.005
Publikováno v:
International Journal of Forecasting. 32:527-547
This paper investigates the existence of predictable patterns in the evolution of the implied correlation series. To this end, alternative time-series specifications are employed to model the correlation dynamics, and the statistical and economic sig
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07f79e3d985b1868d763f227e598c945
https://doi.org/10.1016/j.ijforecast.2015.09.008
https://doi.org/10.1016/j.ijforecast.2015.09.008
Publikováno v:
International Review of Financial Analysis. 35:118-127
Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::53ce2224f245e8dd60a4dfd18374b54d
https://doi.org/10.1016/j.irfa.2014.07.013
https://doi.org/10.1016/j.irfa.2014.07.013
We propose to adopt high-frequency DCC-MIDAS models to estimate high- and low-frequency correlations in the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, and Spain relative to Germany, from June 1, 2007 to May 31, 2012.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::756c476095221391ba5949463f6304e4
http://hdl.handle.net/10446/55101
http://hdl.handle.net/10446/55101
Publikováno v:
Journal of Forecasting. 26:497-526
Reliable correlation forecasts are of paramount importance in modern risk management systems. A plethora of correlation forecasting models have been proposed in the open literature, yet their impact on the accuracy of value-at-risk calculations has n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::229572a441f35e7cf3460bc7ff1be86f
https://doi.org/10.1002/for.1036
https://doi.org/10.1002/for.1036
Publikováno v:
The Journal of Alternative Investments. 7:66-82
Value at risk (VaR) is an estimate of the worst loss over a target horizon with a given level of confidence. Despite its shortcomings, the Basel Committee on Banking Supervision has chosen it as the standard method to measure the market risk of a por
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95bf666d4c0e41be22ece3c107d30633
https://doi.org/10.3905/jai.2005.491502
https://doi.org/10.3905/jai.2005.491502
Autor:
Vasiliki D. Skintzi
One of the inputs required by investors, seeking to hold efficient portfolios, is the correlation between the securities to be included in the portfolio. Correlation estimates are required in most applications in finance including asset pricing model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e878d48c33620ffb6ae59b9291b0ae9
https://doi.org/10.12681/eadd/17695
https://doi.org/10.12681/eadd/17695
Publikováno v:
SSRN Electronic Journal.
This paper examines the dynamic linkages among the European bond markets. We model the price and volatility spillovers from the US bond market and the aggregate Euro area bond market to twelve individual European bond markets using an EGARCH model th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1be26180583c68feeca0928ab6a3c784
https://doi.org/10.2139/ssrn.493962
https://doi.org/10.2139/ssrn.493962