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Volatility estimators in econometric analysis of risk transfer on capital markets

Marcin Faldzinski () and Magdalena Osinska ()

Dynamic Econometric Models, 2016, vol. 16, 21-35

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.

Keywords: causality in risk; extreme value theory; growing emerging economies; risk transfer; volatility (search for similar items in EconPapers)
JEL-codes: G15 Q47 (search for similar items in EconPapers)
Date: 2016
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