Духовно-консервативний феномен Григорія Сковороди та реальність українського необароко у контексті відродження християнської індивідуальності

This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of the cases one common factor is enough to describe the largest part of the international variation in the continuous part of volatility and that this factor’s importance has increased over time. Furthermore, we find strong evidence for asymmetries between extremely negative and positive co-extreme close-open returns and of negative and positive co-jumps across countries

Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model

This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log range defined as the natural logarithm of the difference of the maximum and the minimum price observed for an asset within a certain period of time, i.e. one trading week. There is clear evidence for a regime-switching behavior of the volatility of the S&P500 stock market index in the period from 1962 until 2007. A Markov-switching model is found to fit the data significantly better than a linear model, clearly distinguishing periods of high and low volatility. A forecasting exercise leads to promising results by showing that some specifications of the model are able to clearly decrease forecasting errors with respect to the linear model in an absolute and mean square sense

Comovements of Different Asset Classes During Market Stress

This paper assesses the linkages between the most important U.S. financial asset classes (stocks, bonds, T-bills and gold) during periods of financial turmoil. Our results have potentially important implications for strategic asset allocation and pension fund management. We use multivariate extreme value theory to estimate the exposure of one asset class to extreme movements in the other asset classes. By applying structural break tests to those measures we study to what extent linkages in extreme asset returns and volatilities are changing over time. Univariate results andch bivariate comovement results exhibit significant breaks in the 1970s and 1980s corresponding to the turbulent times of e.g. the oil shocks, Volcker’s presidency of the Fed or the stock market crash of 1987

Multivariate Business Cycle Synchronization in Small Samples

In this paper, we study the degree of business cycle synchronization by means of a small sample version of the harding and pagan's [journal of econometrics (2006) vol. 132, pp. 59–79] generalized method of moment test. We show that the asymptotic version of the test gets increasingly distorted in small samples when the number of countries grows large. However, a block bootstrapped version of the test can remedy the size distortion when the time series length divided by the number of countries t/n is sufficiently large. Applying the technique to a number of business cycle proxies of developed economies, we are unable to reject the null hypothesis of a non-zero common multivariate synchronization index for certain economically meaningful subsets of these countries

After the Fall: Euro Area Adjustment

Macroeconomic adjustment in the Southern countries of the euro area after the financial crisis appears well under way as external imbalances in these countries have almost disappeared. However, in this paper, we argue the underlying strctural problems persist and recovery is fragile. Both sovereign debt and external debt are approaching sustainability thresholds and indications of substantial structural reform are insufficient yet for the Southern countries. Prospects for higher growth in the near future are dim, due to lack of economic reforms, private and public debt overhang and imposed austerity programs. Moreover, the observed adjustment is strongly asymmetric and leads to more rather than less divergence. Overall, we feel the chosen approach will prove to be unsustainable and infeasible in the near future. To defend the euro and the euro area, a new approach is urgently needed

After the Fall: Euro Area Adjustment

Macroeconomic adjustment in the Southern countries of the euro area after the financial crisis appears well under way as external imbalances in these countries have almost disappeared. However, in this paper, we argue the underlying strctural problems persist and recovery is fragile. Both sovereign debt and external debt are approaching sustainability thresholds and indications of substantial structural reform are insufficient yet for the Southern countries. Prospects for higher growth in the near future are dim, due to lack of economic reforms, private and public debt overhang and imposed austerity programs. Moreover, the observed adjustment is strongly asymmetric and leads to more rather than less divergence. Overall, we feel the chosen approach will prove to be unsustainable and infeasible in the near future. To defend the euro and the euro area, a new approach is urgently needed

On Measuring Synchronisation of Bulls and Bears: the case of East Asia

This paper implements estimation and testing procedures for comovements of stock market “cycles” or “phases” in asia. We extend the harding and pagan [harding, d., pagan, a.p., 2006. Synchronization of cycles. Journal of econometrics 132 (1), 59–79] test for strong multivariate nonsynchronization (smns) between business cycles to a test that allows for an imperfect degree of multivariate synchronization between stock market cycles. Moreover, we propose a test for endogenously determining structural change in the bivariate and multivariate synchronization indices. Upon applying the technique to five asian stock markets we find a significant increase in the cross country comovements of asian bullish and bearish periods in 1997. A power study of the stability test suggests that the detected increase in comovement is more of a sudden nature (i.e. Contagion or “asian flu”) instead of gradual (i.e. Financial integration). It is furthermore argued that stock market cycles and their propensity toward (increased) synchronization contain useful information for both investors, policy makers and financial regulators

Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model

This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log range defined as the natural logarithm of the difference of the maximum and the minimum price observed for an asset within a certain period of time, i.e. one trading week. There is clear evidence for a regime-switching behavior of the volatility of the S&P500 stock market index in the period from 1962 until 2007. A Markov-switching model is found to fit the data significantly better than a linear model, clearly distinguishing periods of high and low volatility. A forecasting exercise leads to promising results by showing that some specifications of the model are able to clearly decrease forecasting errors with respect to the linear model in an absolute and mean square sense