波动性(金融)
计量经济学
文件夹
估计员
经济
金融经济学
金融市场
多元统计
投资策略
财务
市场流动性
统计
数学
作者
Robert F. Engle,Susana Campos-Martins
标识
DOI:10.1016/j.jfineco.2022.09.009
摘要
Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical performance of a simple but novel estimator and of a test to detect global COVOL. Two empirical examples show the events that have had the biggest impact on financial markets. The results are useful for portfolio optimization and risk forecasting.
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