Browsing by Subject "State-dependence"

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    Essays on modelling state-dependent dynamics : applications to financial time series
    (2019) Kuck, Konstantin; Jung, Robert
    This thesis explores state-dependence in the context of financial market dynamics and cross-market linkages. Time-varying behaviour of financial markets is widely observed and implies that their price dynamics are characterized by state-dependence with regard to changing economic conditions. From a statistical perspective, this means that the (inter-)dependencies of financial variables are non-linear and cannot be adequately described in the context of linear models. Using non-linear econometric models like quantile (auto)regression and Markov-switching models, this thesis focuses on the following issues: 1. Are the dynamics among crude oil prices stable or time-varying? Are the crude oil markets generally integrated or regionalized? Is there a leading benchmark price? 2. How are the volatility dynamics of crude oil and precious metals affected by the level of volatility? Are there differences between crude oil and precious metals? 3. How fast do investors react to negative shocks in the equity market? Do negative shocks in the equity market affect the volatility of gold and what are the implications for the role of gold as a safe haven? 4. What can be learned from intra-day data about temporal dependencies and information processing in the foreign exchange (FX) market?
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    State-dependent dynamics and interdependence of global financial markets
    (2015) Maderitsch, Robert; Jung, Robert
    This thesis investigates information transmission across international financial markets in four different studies. The common focus of all analyses is a long-term investigation of cross-market information transmission. Special consideration is given to the impact of the financial crisis of 2007 as well as the aspect of potential state-dependence in cross-market linkages. The following points provide a summary of the studies’ key questions: 1. Is there evidence for time- and state-dependence of return spillovers between stock markets in Hong Kong, Europe and the US? What are the implications for informational efficiency? 2. Are there structural breaks in volatility spillovers between the markets considered? If so – are these effects consistent with the notion of contagion as a strong and sudden synchronization of chronologically succeeding volatilities? 3. Do quantile regressions provide new insights into return spillovers from the US to stock markets in Asia? Which conclusions can be drawn about Asian traders’ information processing at market opening? 4. Which new insights can be obtained from measuring transatlantic volatility interdependence based on synchronous 24-hour realized volatilities? How to estimate 24 hour realized volatilities despite intermittent high-frequency data and non-synchronous trading hours across stock markets in Europe and the US? Answers to these questions are of direct relevance for international policy makers and investors. The goal of maintaining financial stability has recently gained in importance in various institutions all over the world. A solid understanding of financial market linkages is not only important in the context of international asset allocation and risk management. It is also crucial with a view to improving the current financial architecture and to make the international financial system more resilient towards crises in the future.