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Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity

2023-02Journal article Open access
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dc.contributor.authorSouza, F. M.
dc.contributor.authorRamser, Claudia Aline De Souza
dc.contributor.authorSouza, Adriano Mendonça
dc.contributor.authorVeiga, Claudimar Pereira Da
dc.date.accessioned2024-01-09T10:20:54Z
dc.date.available2024-01-09T10:20:54Z
dc.date.issued2023-02
dc.date.updated2024-01-08T18:51:50Z
dc.description.abstractThe intention of this article is to develop an instrument to overcome the limitations caused by traditional analyses and present a combined STR — Smooth Transition Regression model (EGARCH, STRIGARCH, and STR-FIEGARCH) to analyze the contagion effects of the 2008 financial crisis. The proposed instrument will aid the analysis of contagion and the impact of changes in long-term interest rates on the returns of international stock indices and forecasting, with special emphasis on the effects caused by structural breaks, persistence, and conditioned heteroscedasticity. The methodology begins with unit root tests with one and two structural breaks. In the second step, the asymmetry will be analyzed considering the STR models, which will determine the asymmetry relationship between interest rates and the long term, so that in a later step, these asymmetries will be used in the composition of a volatility estimation model, being based on the ARCH models: (i) EGARCH and (ii) FIEGARCH. This study provides a useful instrument based on modeling techniques to make the decision-making process more efficient and objective, providing a choice of instruments that assess the effect of changes in interest rates on stock market indices when influenced by falls, with structural data and better forecasting performance. The results show that the developed mixture models obtained better performance in predicting the effect or impact of changes in interest rates on stock market indices when influenced by structural breaks. STR and the ARCH family are useful instruments that make the decision-making process clearer and more objective when choosing instruments that assess the spillover effect of long-term interest rates on the profitability of international financial indices.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationSouza, F. M., Ramser, C. A., Souza, A. M. & Veiga, C. P. (2023). Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity, Annals of Financial Economics (AFE), 18(02), 1-51pt_PT
dc.identifier.doihttps://doi.org/10.1142/S2010495222500348pt_PT
dc.identifier.issn2010-4960
dc.identifier.urihttp://hdl.handle.net/10400.26/48734
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.titleSpillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticitypt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleAnnals of Financial Economicspt_PT
person.familyNameMendonça Souza
person.givenNameFrancisca
person.identifier.ciencia-idDD15-B860-0C26
person.identifier.orcid0000-0003-3011-0086
rcaap.cv.cienciaidDD15-B860-0C26 | Francisca Mendonça Souza
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationc21c2cb7-fd5c-4e64-b44b-8be82785102e
relation.isAuthorOfPublication.latestForDiscoveryc21c2cb7-fd5c-4e64-b44b-8be82785102e

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