Details
| Original language | English |
|---|---|
| Article number | 160 |
| Journal | JOURNAL OF RISK AND FINANCIAL MANAGEMENT |
| Volume | 13 |
| Issue number | 8 |
| Publication status | Published - 24 Jul 2020 |
Abstract
This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.
Keywords
- high-frequency data, realized volatility, semiparametric estimation, fractional cointegration
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Business, Management and Accounting (miscellaneous)
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Business, Management and Accounting(all)
- Accounting
- Economics, Econometrics and Finance(all)
- Finance
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In: JOURNAL OF RISK AND FINANCIAL MANAGEMENT, Vol. 13, No. 8, 160, 24.07.2020.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Volatility Transmission across Financial Markets
T2 - A Semiparametric Analysis
AU - Kolaiti, Theoplasti
AU - Mboya, Mwasi
AU - Sibbertsen, Philipp
PY - 2020/7/24
Y1 - 2020/7/24
N2 - This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.
AB - This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.
KW - high-frequency data
KW - realized volatility
KW - semiparametric estimation
KW - fractional cointegration
UR - http://www.scopus.com/inward/record.url?scp=85165764050&partnerID=8YFLogxK
U2 - 10.3390/jrfm13080160
DO - 10.3390/jrfm13080160
M3 - Article
VL - 13
JO - JOURNAL OF RISK AND FINANCIAL MANAGEMENT
JF - JOURNAL OF RISK AND FINANCIAL MANAGEMENT
SN - 1911-8066
IS - 8
M1 - 160
ER -