Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Computational Statistics Location: 0.001 Session Chair: Ostap Okhrin | |
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Proxy-identification of a structural MGARCH model for asset returns Matthias R. Fengler, Professor of Econometrics, University of St.Gallen, Switzerland We identify shocks in a structural MGARCH model of asset returns using news-based proxy instruments. Structural parameters, including an orthogonal matrix, are estimated via Riemannian optimization. We study daily returns on the S&P500, the 10-year Treasury yield, and the USD index. The proxies identify an equity valuation shock, capturing shifts in expected dividend growth and risk premia, and a bond valuation shock, reflecting fundamental shocks in safe-haven asset pricing. The dynamic impact matrix is asymmetric, and sign changes in the bond valuation shock loading drive switches between negative and positive stock–bond co-movement. A decomposition of the COVID-19 episode shows that bond valuation shocks partially offset equity market stress and explain the temporary yield surge in mid-March 2020. | |
