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dc.contributor.authorSolibakke, Per Bjarte
dc.date.accessioned2022-02-28T14:22:51Z
dc.date.available2022-02-28T14:22:51Z
dc.date.created2021-08-03T08:57:12Z
dc.date.issued2021
dc.identifier.citationInternational Journal of Computational Economics and Econometrics. 2021, 1-36.en_US
dc.identifier.issn1757-1170
dc.identifier.urihttps://hdl.handle.net/11250/2981788
dc.description.abstractThis paper presents bootstrapped nonlinear impulse response function analyses for general step ahead mean and volatility densities. From strictly (ergodic and) stationary series and BIC optimal non-linear model coefficients the paper establish step ahead densities for both the conditional mean and volatility. For sampling variances using one thousand samples and conditioning all paths on the daily impulses -5, -3,…,5% all mean and volatility responses show mean reversion. For the volatility, all increases seem to arise from negative index movements suggesting strong asymmetry. Furthermore, the model coefficients for the volatility exhibit data dependence suggesting ability to predict volatility. The indices report some striking step ahead differences for both the mean and the volatility. For the mean, only the NDX100 seems to show overreactions. For the volatility, for both positive and negative impulses the NDX100 reports higher volatility responses then FTSE100. However, asymmetry is manifested for both indices suggesting that trading volatility as an asset may insure against market crashes and be an excellent diversification instrument. Finally, using a stochastic volatility model to obtain calibrated functions that give step ahead predicted values for static predictions, enrich participants derivative trading strategies (i.e. volatility swaps).en_US
dc.language.isoengen_US
dc.publisherInderscienceen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.subjectVolatilitetsindekseren_US
dc.subjectVolatility Indicesen_US
dc.subjectTime series analysisen_US
dc.subjectTidsserieanalyseen_US
dc.subjectRisikostyringen_US
dc.subjectRisk managementen_US
dc.subjectDerivater: Terminkontrakter og opsjoneren_US
dc.subjectDervatives: Forward/Futures and Optionsen_US
dc.titleBootstrapped Nonlinear Impulse-Response Analysis: The FTSE100 (UK) and the NDX100 (US) Indices 2012-2021en_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
dc.subject.nsiVDP::Bedriftsøkonomi: 213en_US
dc.subject.nsiVDP::Business: 213en_US
dc.source.pagenumber1-36en_US
dc.source.journalInternational Journal of Computational Economics and Econometricsen_US
dc.identifier.doi10.1504/IJCEE.2021.10043332
dc.identifier.cristin1923535
cristin.ispublishedfalse
cristin.fulltextpreprint
cristin.fulltextpostprint
cristin.qualitycode1


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Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal