Tail risk and the return-volatility relation

被引：7

作者：

Aboura, Sofiane ^{[1
]}

Chevallier, Julien ^{[2
,3
]}

机构：

[1] Univ Paris XIII, Sorbonne Paris Cite, CEPN, CNRS,UMR 7234, 99 Ave Jean Baptiste Clement, F-93430 Villetaneuse, France

[2] IPAG Business Sch, IPAG Lab, 184 Blvd St Germain, F-75006 Paris, France

[3] Univ Paris 8 LED, 2 Ave Liberte, F-93526 St Denis, France

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2018年 / 46卷

关键词：

Tail risk; Leverage effect; Feedback effect; Dynamic conditional correlation; VIX; SKEW; VVIX; CONDITIONAL HETEROSKEDASTICITY; MODEL; LEVERAGE; NEWS;

D O I：

10.1016/j.ribaf.2016.07.036

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article brings new insights on the time-varying leverage and feedback effects in equity markets. The lead-lag return-volatility relation is examined by resorting to time-varying asymmetric dynamic conditional correlation models that allows for asymmetry (ADCC) and spillovers (ADCCX) with tail risk lagged variables (SKEW, VVIX) from 1990 to 2014. Empirical findings reveal that the dynamic leverage effect is the most influential in driving equity markets. The volatility of volatility (VVIX) exhibits a significant influence on the dynamic feedback effect only. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：16 / 29

页数：14

共 50 条

[1] Asymmetries of the intraday return-volatility relation
Badshah, Ihsan
Frijns, Bart
Knif, Johan
Tourani-Rad, Alireza
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 48 : 182 - 192
[2] Expanding the Explanations for the Return-Volatility Relation
Talukdar, Bakhtear
Daigler, Robert T.
Parhizgari, A. M.
[J]. JOURNAL OF FUTURES MARKETS, 2017, 37 (07) : 689 - 716
[3] Asymmetric return-volatility relation around the clock
Kao, Erin H.
Lien, Donald
Ho, Tsung-wu
[J]. REVIEW OF FINANCIAL ECONOMICS, 2021, 39 (02) : 178 - 202
[4] THE RETURN-VOLATILITY RELATION IN COMMODITY FUTURES MARKETS
Chiarella, Carl
Kang, Boda
Nikitopoulos, Christina Sklibosios
To, Thuy-Duong
[J]. JOURNAL OF FUTURES MARKETS, 2016, 36 (02) : 127 - 152
[5] A behavioral explanation for the negative asymmetric return-volatility relation
Hibbert, Ann Marie
Daigler, Robert T.
Dupoyet, Brice
[J]. JOURNAL OF BANKING & FINANCE, 2008, 32 (10) : 2254 - 2266
[6] Quantile Regression Analysis of the Asymmetric Return-Volatility Relation
Badshah, Ihsan Ullah
[J]. JOURNAL OF FUTURES MARKETS, 2013, 33 (03) : 235 - 265
[7] International implied volatility risk indexes and Saudi stock return-volatility predictabilities
Tissaoui, Kais
Azibi, Jamel
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 47 : 65 - 84
[8] Time-varying return-volatility relation in international stock markets
Jin, Xiaoye
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 51 : 157 - 173
[9] Volatility index and the return-volatility relation: Intraday evidence from Chinese options market
Li, Jupeng
Yu, Xiaoli
Luo, Xingguo
[J]. JOURNAL OF FUTURES MARKETS, 2019, 39 (11) : 1348 - 1359
[10] Return-volatility correlation in financial dynamics
Qiu, T.
Zheng, B.
Ren, F.
Trimper, S.
[J]. PHYSICAL REVIEW E, 2006, 73 (06):

← 1 2 3 4 5 →