Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

Arbeitspapier

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it extends the HEAVY framework with powers, leverage, and macro effects that improve its forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main drivers of US and UK financial volatility alongside global credit and commodity factors.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 8000

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Econometrics ; Information, Knowledge, and Uncertainty: General ; Financial Markets and the Macroeconomy ; Financial Crises ; International Financial Markets
• Thema: asymmetries ; economic policy uncertainty ; HEAVY model ; high-frequency data ; macro-financial linkages ; power transformations ; realized variance ; risk management

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Karanasos, Menelaos ; Yfanti, Stavroula
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/215002
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ