Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to October 2016, for the S&P500 and the FTSE, plus ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to and from markets, plus net spillovers. The key difference between the measures is that the spillover index captures an average of spillovers over a period, whilst volatility impulse responses (VIRF) have to be calibrated to conditional volatility estimated at a particular point in time. The VIRF provide information about the impact of independent shocks on volatility. In the latter analysis, we explore the impact of three different shocks, the onset of the GFC, which we date as 9 August 2007 (GFC1). It took a year for the financial crisis to come to a head, but it did so on 15 September 2008, (GFC2). The third shock is 9 May 2010. Our modelling includes leverage and asymmetric effects undertaken in the context of a multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact of negative shocks is larger, in terms of the effects on variances and covariances, but shorter in duration, in this case a difference between three and six months.

The Spanish equity market (2000-2014): stylized facts

Introduction. This thesis is framed in the last 15 years of history of the Spanish equity market (years 2000 to 2014). In this sense and, as an introduction of this work, in the first chapter the main features of the background of the electronic market for shares and the implications that the migration from out-c1y circles to this automatic system is explained. The main changes of this electronic system (Spanish stock exchange interconnection system) are detailed in this part. Also in this first chapter is explained the important European meeting, in December 1999, of eight stock exchanges which foresee, in a first step, to design a single market model for, lately, try to merge, final step that did not take place. After this initial moment in December 1999, in this work the main features of the market model of the main European markets (London, Paris, Germany and Italy) are generally described, given that it is important to consider the European context of the Spanish equity market, specially during these last fifteen years. Along chapter two, the thesis is supported with the theoretic frame explaining here the nature of markets and their important role in the economy, detailing afte1wards the Spanish case from the point of view of its institutional structure and legal framework. Besides, in this chapter, a deep review of initial public offerings (main concepts and calendar steps) is done as well as take-over bids (typology and key-concepts)...

Volatility transmission between stock and exchange-rate markets: A connectedness analysis

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.

X-ray absorption study of the ferromagnetic Cu moment at the YBa_(2)Cu_(3)O_(7)/La_(2/3)Ca_(1/3)MnO_(3) interface and variation of its exchange interaction with the Mn moment

With x-ray absorption spectroscopy and polarized neutron reflectometry we studied how the magnetic proximity effect at the interface between the cuprate high-TC superconductor YBa_(2)Cu_(3)O_(7) (YBCO) and the ferromagnet La_(2/3)Ca_(1/3)MnO_(3) (LCMO) is related to the electronic and magnetic properties of the LCMO layers. In particular, we explored how the magnitude of the ferromagnetic Cu moment on the YBCO side depends on the strength of the antiferromagnetic (AF) exchange coupling with the Mn moment on the LCMO side. We found that the Cu moment remains sizable if the AF coupling with the Mn moments is strongly reduced or even entirely suppressed. The ferromagnetic order of the Cu moments thus seems to be intrinsic to the interfacial CuO_(2) planes and related to a weakly ferromagnetic intraplanar exchange interaction. The latter is discussed in terms of the partial occupation of the Cu 3d_(3z^(2)−r^(2)) orbitals, which occurs in the context of the so-called orbital reconstruction of the interfacial Cu ions.

Phase diagram of the bosonic double-exchange model

The phase diagram of the simplest approximation to double-exchange systems, the bosonic double-exchange model with antiferromagnetic (AFM) superexchange coupling, is fully worked out by means of Monte Carlo simulations, large-N expansions, and variational mean-field calculations. We find a rich phase diagram, with no first-order phase transitions. The most surprising finding is the existence of a segmentlike ordered phase at low temperature for intermediate AFM coupling which cannot be detected in neutron-scattering experiments. This is signaled by a maximum (a cusp) in the specific heat. Below the phase transition, only short-range ordering would be found in neutron scattering. Researchers looking for a quantum critical point in manganites should be wary of this possibility. Finite-size scaling estimates of critical exponents are presented, although large scaling corrections are present in the reachable lattice sizes.

Interplay between double-exchange, superexchange, and Lifshitz localization in doped manganites

Considering the disorder caused in manganites by the substitution Mn→Fe or Ga, we accomplish a systematic study of doped manganites begun in previous papers. To this end, a disordered model is formulated and solved using the variational mean-field technique. The subtle interplay between double exchange, superexchange, and disorder causes similar effects on the dependence of T_(C) on the percentage of Mn substitution in the cases considered. Yet, in La_(2/3)Ca_(1/3)Mn_(1-y)Ga_(y)O_(3) our results suggest a quantum critical point (QCP) for y ≈ 0.1–0.2, associated to the localization of the electronic states of the conduction band. In the case of La_(x)Ca_(x)Mn_(1-y)Fe_(y)O_(3) (with x = 1/3,3/8) no such QCP is expected.

Monte Carlo determination of the phase diagram of the double-exchange model

We study the phase diagram of the double exchange model, with antiferromagnetic interactions, in a cubic lattice both at zero and finite temperature. There is a rich variety of magnetic phases, combined with regions where phase separation takes place. We identify phases, intrinsic to the cubic lattice, which are stable for realistic values of the interactions and dopings. Some of these phases break chiral symmetry, leading to unusual features.

Discontinuous transitions in double-exchange materials

It is shown that the double-exchange Hamiltonian, with weak antiferromagnetic interactions, has a rich variety of first-order transitions between phases with different electronic densities and/or magnetizations. The paramagnetic-ferromagnetic transition moves towards lower temperatures, and becomes discontinuous as the relative strength of the double-exchange mechanism and antiferromagnetic coupling is changed. This trend is consistent with the observed differences between compounds with the same nominal doping, such as La_(2/3)Sr_(1/3)MnO_(3) and La_(2/3)Ca_(1/3)MnO_(3). Our results suggest that, in the low doping regime, a simple magnetic mechanism suffices to explain the main features of the phase diagram.

Variational mean-field approach to the double-exchange model

It has been recently shown that the double exchange Hamiltonian, with weak antiferromagnetic interactions, has a richer variety of first- and second-order transitions than previously anticipated, and that such transitions are consistent with the magnetic properties of manganites. Here we present a thorough discussion of the variational mean-field approach that leads to these results. We also show that the effect of the Berry phase turns out to be crucial to produce first-order paramagnetic-ferromagnetic transitions near half filling with transition temperatures compatible with the experimental situation. The computation relies on two crucial facts: the use of a mean-field ansatz that retains the complexity of a system of electrons with off-diagonal disorder, not fully taken into account by the mean-field techniques, and the small but significant antiferromagnetic superexchange interaction between the localized spins.