Matthias Reginald Fengler

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Prof. Dr.
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Fengler
First name
Matthias Reginald
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matthias.fengler@unisg.ch
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+41 71 224 2457
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    Item type:Publication,
    A variance spillover analysis without covariances: what do we miss?
    (Elsevier, 2015-03-01)
    Fengler, Matthias  
    ;
    Gisler, Katja
    We evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets from July 2003 to December 2012. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances. Our results emphasise the importance of covariances. Including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the US debt ceiling crisis earlier than the spillover measure that considers only variances. Even for the low-dimensional system that we consider, one misses important variance spillover channels when covariances are excluded.
    Type:journal article
    Journal:Journal of International Money and Finance
    Volume:51
    DOI:10.1016/j.jimonfin.2014.11.006
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/106695
    Scopus© Citations 70
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    Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
    (2015)
    Fengler, Matthias  
    ;
    Herwartz, Helmut
    In highly integrated markets, news spreads at a fast pace and bedevils risk monitoring and optimal asset allocation. We therefore propose global and dis- aggregated measures of variance transmission that allow one to assess spillovers locally in time. Key to our approach is the vector ARMA representation of the second-order dynamics of the popular BEKK model. In an empirical applica- tion to a four-dimensional system of US asset classes - equity, fixed income, foreign exchange and commodities - we illustrate the second-order transmis- sions at various levels of (dis)aggregation. Moreover, we demonstrate that the proposed spillover indices are informative on the value-at-risk violations of port- folios composed of the considered asset classes.
    Type:working paper
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/107080