英文标题：
《Modelling Returns and Volatilities During Financial Crises: a Time
Varying Coefficient Approach》
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作者：
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali,
Michail Karoglou, Stavroula Yfanti
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最新提交年份：
2014
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英文摘要：
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the mean and volatility dynamics, including the underlying volatility persistence and volatility spillovers structure. Using daily data from several key stock market indices we find that stock market returns exhibit time varying persistence in their corresponding conditional variances. Furthermore, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for low order time varying specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.
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中文摘要：
我们研究了在最近的金融危机中，关键金融时间序列最普遍的随机特性是如何受到影响的。我们特别关注过去二十年中与显著经济事件相关的均值和波动率动态变化，包括潜在的波动持续性和波动溢出结构。利用几个关键股票市场指数的每日数据，我们发现股票市场收益率在其相应的条件方差中表现出时变的持续性。此外，我们的双变量GARCH模型的结果表明，富时指数和DAX以及日经指数和恒生指数的回报之间存在时变相关性以及时变冲击和波动溢出，这在最近的金融危机期间变得更加突出。我们对时变模型的理论考虑也具有独立的意义，该模型为我们整合多方面的实证方法提供了平台。特别是，我们提供了低阶时变规范的一般解决方案，这是一个长期的研究课题。这使我们能够通过推导这些模型的特征，首先是它们的多步超前预测，其次是前两个时变无条件矩，第三是它们的协方差结构。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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