Download or read book How to Estimate Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on nonparametric local polynomial regression. The procedure is illustrated on the US and French equity market data.

Download or read book Framework for Analyzing Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present an alternative definition of contagion between financial markets, which is based on a measure of local correlation. We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. The dependence is measured by the local correlation between X and Y. This yields a test for contagion, which does not require the specification of crisis and normal periods. As such, it avoids difficulties associated with testing for correlation breakdown, such as hand picking subsets of the data, and it provides a better understanding of the degree of dependence between financial markets.

Download or read book Empirical Evidence on Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. This alternative definition of contagion between financial markets was introduced in Bradley and Taqqu (2004), where a test for contagion based on local correlation was presented. Using this test, we find evidence of contagion from the US equity markets to equity markets of several developed countries. We also find evidence of flight to quality from the US equity market to the US government bond market. We make the software written in support of this work freely available and describe its use in the appendix.

Download or read book Statistical Modeling Using Local Gaussian Approximation written by Dag Tjøstheim and published by Academic Press. This book was released on 2021-10-05 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. Reviews local dependence modeling with applications to time series and finance markets Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences Integrates textual content with three useful R packages

Download or read book The Impact of Contagion In Real Estate Markets written by Dersim Avdar and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper researches spatial contagion in the US real estate market. Its goal is to determine whether two portfolios containing different real estate investment trusts (REIT) behaved differently during the financial crisis, in a period going from 2007 to 2010. One portfolio is constituted of firms investing in concentrated regions, the other contains individually diversified REITs, and both portfolios cover the same regions on average, with a limitation to the US territory. To this end we perform a spatial regression followed by a t-test. The results of our empirical analyses show no significant difference in both portfolios during our time frame, be it regarding the spatial components of their returns or the evolution of their returns along time. This supports the idea that diversification strategies across asset classes and regions became mostly irrelevant during the crisis.

Download or read book A New Approach to Measuring Financial Contagion written by Kee-Hong Bae and published by . This book was released on 2010 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion, when measured by the co-incidence within and across regions of extreme return shocks, is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed.

Download or read book A New Approach to Measuring Financial Contagion written by Kee-Hong Bae and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion, when measured by the co-incidence within and across regions of extreme return shocks, is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed

Download or read book Contagion in Experimental Financial Markets written by Suren Vardanyan and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Market Contagion in the Asian Crisis written by Mr.Taimur Baig and published by International Monetary Fund. This book was released on 1998-11-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.

Download or read book Asset Pricing Spatial Linkages and Contagion in Real Estate Stocks written by Stanimira Milcheva and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although spatial techniques have been used to capture the spillovers in asset returns across different regions, they have not yet been applied in an asset pricing context. Combining asset pricing models and equilibrium spatial models can be a good way to disentangle spillover effects across assets thereby accounting for systemic risks. We use an innovative approach and estimate a four-factor 'Spatial' Capital Asset Pricing Model (SCAPM) which allows us to account for correlations in the error terms. We can account for direct or indirect spillover effects in the presence of increased spillovers through the idiosyncratic component or of increased spillovers through the market respectively. We find that contagion dramatically increases during the global financial crisis and the spillover effect can explain up to 40% of total asset variation. In the rest of the time, idiosyncratic risks have been the predominant type of risk in real estate stocks. Our results have implications for investors showing that the market can channel asset volatility leading to contagion during crisis periods and therefore residual linkages between country indices need to be accounted for as a means of assessing the diversification benefits of a global portfolio.

Download or read book Topics in Stationarity Volatility and Contagion written by Jeff Hamrick and published by . This book was released on 2009 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this thesis, we present a series of projects on stationarity, volatility, and contagion in continuous- and discrete-time financial models. In the first chapter, we present a hypothesis testing procedure involving a single sample path from a continuous, univariate stochastic differential equation. This sample path is used to compute two different nonparametric estimators of the diffusion function, one temporal and one spatial. These estimators are used to check whether it is likely that the diffusion function is time inhomogeneous (which, in turn, implies that the diffusion is not stationary). We apply the testing procedure to exchange rates and interest rates, two types of financial time series that are often modeled by stationary diffusions. In the next two chapters, we turn to a discrete-time context and address the ongoing debate as to whether or not there is contagion in fixed income markets. Using a nonlinear regression model and associated local correlation function, we say there is contagion from a financial market X to Y if there is greater dependence between X and Y when X is experiencing a crisis than when X is more "normal." Also, we define a concept called confusion, which occurs when the local correlation not only decreases from the median to a tail of X , but does so to the extent that it is statistically indistinguishable from zero in the tail. We develop a related bootstrapping technique and use it to find evidence that bond markets and credit default swap markets seem to be free of contagion, but occasionally subject to confusion. In the final chapter, we develop a generalization of the Durbin-Watson test statistic for a nonlinear regression model. This generalization is called the local Durbin-Watson function. We propose a permutation testing procedure which, when combined with a multiple comparisons procedure, determines whether or not an estimate of the local Durbin-Watson function indicates the presence of local autocorrelation somewhere along the distribution of the covariate.

Download or read book Medical Biostatistics for Complex Diseases written by Frank Emmert-Streib and published by John Wiley & Sons. This book was released on 2010-03-30 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of highly valuable statistical and computational approaches designed for developing powerful methods to analyze large-scale high-throughput data derived from studies of complex diseases. Such diseases include cancer and cardiovascular disease, and constitute the major health challenges in industrialized countries. They are characterized by the systems properties of gene networks and their interrelations, instead of individual genes, whose malfunctioning manifests in pathological phenotypes, thus making the analysis of the resulting large data sets particularly challenging. This is why novel approaches are needed to tackle this problem efficiently on a systems level. Written by computational biologists and biostatisticians, this book is an invaluable resource for a large number of researchers working on basic but also applied aspects of biomedical data analysis emphasizing the pathway level.

Download or read book Introduction to Spatial Econometrics written by James LeSage and published by CRC Press. This book was released on 2009-01-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although interest in spatial regression models has surged in recent years, a comprehensive, up-to-date text on these approaches does not exist. Filling this void, Introduction to Spatial Econometrics presents a variety of regression methods used to analyze spatial data samples that violate the traditional assumption of independence between observat

Download or read book Analysis of Contagion in Financial Markets Based on the Gradient Measurement of the Growth in Financial Markets and Conditional Copula Functions written by Rafał Siedlecki and published by . This book was released on 2013 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define contagion in financial markets as a significant increase in cross-market linkages after a shock to one country (or group of countries). Contagion occurs if cross-market co-movement increases significantly after the shock.The main goal of this paper is to analyse changes in dependence between a chosen world stock market and the constructed synthetic index. Subsequently the research hypothesis will be verified: dependence between the synthetic stock market index and other stock markets is increasing in periods of a rapid decrease in value of stock market indexes. Positive verification of this hypothesis means that there is a contagion in financial markets.

Download or read book Bubbles and Contagion in Financial Markets Volume 2 written by Eva R. Porras and published by . This book was released on 2017 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Spatial Econometrics written by J. Paul Elhorst and published by Springer Science & Business Media. This book was released on 2013-09-30 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.

Download or read book Synergies of Soft Computing and Statistics for Intelligent Data Analysis written by Rudolf Kruse and published by Springer Science & Business Media. This book was released on 2012-09-07 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years there has been a growing interest to extend classical methods for data analysis. The aim is to allow a more flexible modeling of phenomena such as uncertainty, imprecision or ignorance. Such extensions of classical probability theory and statistics are useful in many real-life situations, since uncertainties in data are not only present in the form of randomness --- various types of incomplete or subjective information have to be handled. About twelve years ago the idea of strengthening the dialogue between the various research communities in the field of data analysis was born and resulted in the International Conference Series on Soft Methods in Probability and Statistics (SMPS). This book gathers contributions presented at the SMPS'2012 held in Konstanz, Germany. Its aim is to present recent results illustrating new trends in intelligent data analysis. It gives a comprehensive overview of current research into the fusion of soft computing methods with probability and statistics. Synergies of both fields might improve intelligent data analysis methods in terms of robustness to noise and applicability to larger datasets, while being able to efficiently obtain understandable solutions of real-world problems.