Grant detail

GAUK 910836 -- Disentangling permanent and transitory spillovers.

Principal investigator: Mgr. Tomáš Křehlík M.A., Ph.D.
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
Mgr. Luboš Hanus
Description: Traditional approach to estimating spillovers is using forecast error variance decomposition from vector autoregression system. In our research, we first critically revisit the current methodology of spillovers, as the spillover estimation is often performed on fractionally co-integrated and long-memory volatility series ignoring these facts. We provide large-scale simulations, which elucidate to what extent is the current spillover research valid under such settings. Second, we propose a general spectral-based framework for disentangling long-term spillovers from short-term ones. Moreover, we offer two economic applications of this methodology. First, we investigate spillover structure of a broad spectrum of financial assets and the effects of crisis. Second, we show implications of proposed methodology for long-term versus short-term portfolio optimization.
Participation:
Work in grant:
Web link:
Finance: Accepted for financing in April 2014
End date: 2016
Publications:
Conferences:

8th International Conference on Computational and Financial Econometrics

9th International Conference on Computational and Financial Econometrics

Non- and Semiparametric Volatility and Correlation Models

Second International Workshop in Financial Markets and Nonlinear Dynamics

Slovak Economic Association Meeting

March 2021
MonTueWedThuFriSatSun
1234567
891011121314
15161718192021
22232425262728
293031    

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance