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Dynamic Econometric Models

Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets
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Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets

Authors

  • Marcin Fałdziński Nicolaus Copernicus University
  • Magdalena Osińska Nicolaus Copernicus University

DOI:

https://doi.org/10.12775/DEM.2016.002

Keywords

causality in risk, extreme value theory, growing emerging economies, risk transfer, volatility

Abstract

The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators are considered: Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang and the AR-GARCH(1,1)-t model. Additionally, the extreme value theory is also applied. Several emerging capital markets are checked for being the source of the risk for both emerging and developed markets. The group of emerging markets includes the most intensively  growing economies in the world. The final results are such as the number of relationships between the markets is considerably lower when the methods taken from the extreme value theory are used.

References

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Dynamic Econometric Models

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Published

2016-12-28

How to Cite

1.
FAŁDZIŃSKI, Marcin and OSIŃSKA, Magdalena. Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets. Dynamic Econometric Models. Online. 28 December 2016. Vol. 16, no. 1, pp. 21-35. [Accessed 4 July 2025]. DOI 10.12775/DEM.2016.002.
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