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Asymmetric Correlation Propagationin Factor Stochastic Volatility Models

Author

Listed:
  • Marín Díazaraque, Juan Miguel
  • Romero, Eva
  • Veiga, Helena

Abstract

[ES] Introducimos la función de propagación de asimetría de correlación (CAPF), una medida indexada con retardo de si los rendimientos negativos conjuntos predicen mayores correlación futura entre activos, junto con un estimador no paramétrico. El estimador es fuertemente consistente y asintóticamente normal bajo condiciones de mezcla fuerte y momento, y una variante basada en rango sigue siendo válida bajo las colas pesadas de los rendimientos diarios de las acciones, donde los cuartos momentos pueden no existen. También proponemos una prueba de portmanteau de asimetría de correlación. El índice de volatilidad estocástica de factor simétrico CAPF es idéntico cero; bajo una alternativa asimétrica, la retroalimentación negativa del apalancamiento produce un CAPF positivo con decaimiento geométrico. Aplicado a ocho acciones internacionales. En los índices, el marco encuentra coeficientes de apalancamiento claramente negativos en tres factores regionales y un criterio de exclusión de un elemento que favorece la asimetría especificación. El CAPF no paramétrico es significativamente positivo en el 71% de los veintiocho pares de mercado, concentrados en pares intrarregionales como el mecanismo de transmisión de apalancamiento predice y detecta la asimetría dinámica en trece pares que no detecta una prueba estática de correlación de excedencia.

Suggested Citation

  • Marín Díazaraque, Juan Miguel & Romero, Eva & Veiga, Helena, 2026. "Asymmetric Correlation Propagationin Factor Stochastic Volatility Models," DES - Working Papers. Statistics and Econometrics. WS 50310, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:50310
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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