Angi Roesch

Angi Roesch
FOM Hochschule für Oekonomie & Management gGmbH | FOM · German-Sino School of Business & Technology

PhD (Ludwig Maximilian University of Munich)

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66
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320
Citations

Publications

Publications (66)
Presentation
Full-text available
How fast, if ever, does the price of precious metals recover from a shock? Considering the industrial importance of precious metals, as well as investors' requirements, measures of shock persistence can provide essential benchmarks. This study investigates the shock persistence in four major precious metal prices (gold, silver, palladium, and plati...
Presentation
The surge in oil prices in the early 2000s has been raising questions concerning its implications for global imbalances, and fueled discussions about policy adjustments. Currently, oil prices are on the rise again, to levels unseen since mid-2015, while the USD is on the slide. Oil price fluctuations have usually been associated with USD depreciati...
Presentation
Analyzing networks of asset markets on the basis of daily return-to-volatility and volatility-to-volatility spillovers between markets and in terms of propagation values is a well-established methodology. The present study uses notions from information theory, in particular the Kolmogorov-Sinai entropy, to analyze the flow of information in a netwo...
Presentation
The 2007/8 food crisis is suspected to have been aggravated by the concurrent surge in oil prices. A recent strand of research is concerned with this issue, often identifying substitution effects between biofuels and fossil fuel, together with a growing focus on renewable energy, as the major determinants of this food crisis. Bans on using certain...
Presentation
Active interest in brands of potential customers manifests itself in their upload behavior to social networks. In the context of this study, the content uploaded consist of media annotated with certain brand-related hashtags, or comments on suchlike media. We analyze the timing of uploads of media or comments and the sentiment they reflect to Insta...
Presentation
Full-text available
This paper investigates the relative importance of stock markets in a network consisting of the four BRIC (Brazil, Russia, India, China) markets, plus the USA. Each of these markets is represented by a stock index: Bovespa (Brazil), RTS (Russia), BSE Sentex (India), Shanghai Stock Index Composite (China), and Dow-Jones Industrial Average (USA), con...
Article
Full-text available
WaveletComp is an R package for continuous wavelet-based analysis of univariate and bivariate time series. Wavelet functions are implemented in WaveletComp such that a wide range of intermediate and final results are easily accessible. The null hypothesis that there is no (joint) periodicity in the series is tested via p-values obtained from simula...
Article
A majority of gold worldwide is bought as jewelry. China and India together account for about 60% of worldwide gold jewelry consumption. Gold is a traditional gift in many cultures and often given away on the occasion of festivals, such as Chinese New Year, Diwali, and Ramadan Eid. These facts lead us to an obvious question: Do gold prices behave d...
Article
The present study is an effort to analyze the timing of media postings related to candidates Clinton and Trump on Instagram before and after the 2016 US presidential election. Hashtags are used to determine whether a posting was intended to support or oppose either candidate. We thus obtain four hourly time series: Clinton vs. Trump, supporters vs....
Presentation
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Conference Paper
This paper investigates the relative importance of stock markets in a network consisting of the four BRIC (Brazil, Russia, India, China) markets, plus the USA. Each of these markets is represented by a stock index: Bovespa (Brazil), RTS (Russia), BSE Sentex (India), Shanghai Stock Index Composite (China), and Dow-Jones Industrial Average (USA), con...
Conference Paper
BRICS, the acronym for an association of the states Brazil, Russia, India, China and South Africa, is an invented concept. Nevertheless, the member states have institutionalized, to some extent, their economic and political cooperation and thus gained more influence worldwide as an entity. The main purpose of the present paper is to investigate how...
Presentation
Social network services are used, among other things, to express political opinion. The present study is an effort to analyze the timing of media postings related to candidates Clinton and Trump on the platform Instagram before and after the 2016 US presidential election. A selected set of hashtags is used to determine whether a posting was intende...
Presentation
Almost 60% of gold worldwide is bought as jewelry. China and India together account for about 60% of worldwide gold consumption. Gold is a traditional gift in many cultures and often given away on the occasion of festivals, such as Chinese New Year, Diwali, Ramadan Eid, and Christmas. These facts lead us to an obvious question: Do gold prices behav...
Article
Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of economies. We consider three western equity markets, re...
Presentation
Transmission system operators for electricity from 35 countries across Europe are interconnected in the European network ENTSO-E. Their goal is to minimize the risk of grid failure and to maximize the reliably available capacity. We are interested in the periodicity and synchronicity of power consumption across countries. To that end, we analyze ho...
Article
Full-text available
The goal of the this paper is to investigate the shock spillover characteristics of the Russian stock market during different rounds of sanctions imposed as a reaction to Russia’s alleged role in the Ukrainian crisis. We consider six stock markets, represented by their respective stock indices, namely the US (DJIA), the UK (FTSE), the euro area (Eu...
Presentation
Full-text available
Wavelet methodology is a reasonable choice to study periodic phenomena in time series, particularly in the presence of potential frequency changes across time. Wavelets provide a workable compromise in the time and frequency resolution dilemma (resulting from the Heisenberg uncertainty principle) arising in this context. Applications in signal and...
Conference Paper
We consider three equity markets, represented by stock indices DJIA (USA), FTSE 100 (UK), and EURO STOXX 50 (euro area). Connecting these three markets together via vector autoregressive processes in index returns (or volatilities), we construct “propagation values” to measure, on a daily basis, the relative importance of a market as a volatility c...
Conference Paper
The goal of our study is to measure historical stock market connectedness in the network consisting of three stock markets, namely the USA, France, and Germany, in the period between WW 1 and WW 2. The stock markets are represented by their respective stock market indices, dji (USA), cac40 (France), and "Aktienindex des Statistischen Reichsamtes"...
Presentation
Understanding the pattern of environmental radioactivity is important for several reasons, for example for the detection of man-made radioactivity. Environmental radioactivity measurements are highly volatile, making the identification of patterns a challenging task. Analyzing time series of daily radioactivity measurements from eight places in Ge...
Presentation
Each year in May, the U.S. Department of Agriculture (USDA) releases its new "Outlook on World Wheat Supply and Use" in the upcoming biennial season. Forecasts of wheat ending stocks are revised from month to month. The USDA announcements are awaited by market participants, who draw conclusions on supply and demand fundamentals. The purpose of our...
Presentation
Multivariate portfolio optimization and its relationship to out-of-sample performances has been widely studied in the context of competing allocation strategies ranging from mean-variance portfolios to a naive equally-weighted policy. However, a very fundamental question has been largely neglected: To which degree does optimality help to improve ou...
Article
Purpose – Understanding and defining the characteristics of environmentally conscious or concerned consumers has received attention from academic researchers, commercial sector, and policy makers. The purpose of this paper is to identify distinct market segments in three countries (China, Germany, and Turkey) based on several “green” attitude and b...
Conference Paper
Equity markets on the one hand and the crude oil market on the other do not operate in isolation, the foreign exchange market being another agent in the interplay. The focus of our study is to determine whether a leading market can be identified. One way to assess the degree of interaction between markets is to measure news-to-volatility spillovers...
Conference Paper
Providers of cloud computation services may save costs by dynamically scaling hardware resources allocated to servers. This requires forecasting the demand for CPUs (and other hardware components). The superposition of different user demand profiles may result in complex intra-day, daily, and weekly demand intensity patterns, which need not be cons...
Preprint
Full-text available
WaveletComp is an R package for continuous wavelet-based analysis of univariate and bivariate time series. Wavelet functions are implemented in WaveletComp such that a wide range of intermediate and final results are easily accessible. The null hypothesis that there is no (joint) periodicity in the series is tested via p-values obtained from simula...
Presentation
The surge in oil prices in recent years has been raising questions on its implications for global imbalances and needs of policy adjustments. The recent global economic crisis has added to exacerbate these imbalances, while the price fluctuations have been associated with U.S. dollar depreciation and appreciation at all times. In which way does su...
Presentation
Equity markets on the one hand and the crude oil market on the other do not operate in isolation. One way to assess the degree of interaction between markets is to measure return-to-volatility spillovers from one market to another. This approach leads to a network with markets as nodes and edge weights defined by spillovers. An interpretation of th...
Conference Paper
The dating of cyclical phenomena in economies, such as business cycles, is at the core of economic policy research. Moreover, policy decisions which are due to affect interacting economies should take into account the economies’ connectedness and synchronicity. The cross-country analysis of business cycles is conceptually close to the study of “con...
Presentation
One of the advantages to analyze the economic links between two countries on the basis of stock market data, rather than aggregate economic data published by national statistical offices, is that stock market data are readily available, allowing analysis in almost real time. We consider a directed network with equity markets as nodes and return-to-...
Article
Trading rules performing well on a given data set seldom lead to promising out-of-sample results, a problem which is a consequence of the in-sample data snooping bias. Efforts to justify the selection of trading rules by assessing the out-of-sample performance will not really remedy this predicament either, because they are prone to be trapped in w...
Article
Full-text available
The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix which can be readily interpreted as a network structure and summarized i...
Presentation
Measures of spillovers between international equity markets can be derived building on the well-established forecast error variance decomposition in a vector autoregression VAR) framework. Typically, a day-by-day monitoring of these measures leads to non-stationary time series, the patterns giving rise to speculations about the existence of cyclica...
Presentation
Publicly traded corporations can be seen as a directed graph or network with nodes as corporations and edges with weights quantifying return spillovers in terms of forecast error variance decompositions (fevds) of daily returns on their stock prices. Information-theoretic measures can then be used to analyze the flow of information (for example, th...
Conference Paper
Today, China is the world’s leading gold producer and its second largest consumer. Traditionally imposing strict regulations on its gold market, China has ushered in a process of liberalisation a decade ago, encouraging individual gold trading, gold import and export. A boom in domestic demand for gold has been triggered, the majority of which is c...
Conference Paper
The overall degree of international equity market connectedness has gradually increased over the past two decades. Reflecting the shift in global economic power, it has been recently suggested to pay more attention to the BRICT (Brazil, Russia, India, China, and Turkey) countries. Building on, and methodologically adding to, an established approach...
Article
Full-text available
Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC anno...
Conference Paper
The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our contribution is on detecting cycles in the intensity of spill...
Conference Paper
Full-text available
Movements in the age structure of a population are often accompanied by substantial rural-urban migration. It is therefore compelling to analyze the implications of fertility, mortality, and migration patterns together. We use a joint Leslie-type population model of urban and rural populations which projects the current population structure into th...
Conference Paper
Full-text available
The degree of connectedness of equity markets on a given day can be assessed by decomposing the forecast error variance resulting from a vector autoregressive model, applied to daily returns on stock indices. This well-known procedure leads, for each day, to a spillover matrix quantifying the contribution of a shock, to which one return series is e...
Conference Paper
Full-text available
Several times a year, OPEC hosts conferences with its members to review oil fundamentals and decide on production quota adjustments. The organization meets behind closed doors, but the opening meeting is open to the press and usually fuels market speculation on which agreement concerning oil production levels (maintain, increase, or cut) will be ar...
Presentation
The world faces pressing environmental challenges such as climate change, deforestation, water scarcity and declining biodiversity. Catastrophes and news stories on environmental degradation drew the public’s attention to environmental problems. There is increasing awareness among the general public of the critical role of personal consumption in e...
Conference Paper
Full-text available
Economic growth and urbanization are often closely linked. From a formal point of view, urbanization can be seen as a result of migration probabilities, together with fertility rates and survival probabilities prevalent in urban and rural areas, together with migration probabilities. We introduce a new Leslie-type population model which describes t...
Conference Paper
Full-text available
Market news and announcements are among the driving forces behind crude oil price fluctuations. Our paper focuses on investigating the impact of certain inventory news, provided regularly by the US Energy Information Administration (EIA). We use the discrepancy between crude oil inventory forecasts and actual inventory levels as a proxy for invest...
Conference Paper
A weekly event which is frequently blamed for oil price movements is the moment when the US Energy Information Administration publishes its report on ending stocks of crude oil and petroleum products for the previous week. The data, usually released on Wednesdays, are awaited by market analysts as well as by investors, who compare them to some cons...
Conference Paper
With more than 27 million foreign visitor arrivals in 2009, tourism is a very important economic sector in Turkey. The goal of our investigation is to assess forecasting accuracy (expressed as mean absolute percentage error = MAPE) of two alternative methods, when forecasting monthly arrivals 12 months ahead: seasonal ARIMA and seasonal decompositi...
Conference Paper
Full-text available
Currency carry trading is an investment strategy which borrows in a low-yield currency and/or invests in a high-yield currency, with the hope of profiting from the interest rate differential (the carry) between two money markets, as well as from currency movements. Technically, profit (or loss) will be generated by a difference between the exchange...
Presentation
Multivariate GARCH processes have been found useful in the analysis of volatility spillovers between several heteroskedastic time series. This phenomenon can frequently be observed in the behaviour of series of returns on stocks.Our package can fit several MGARCH specifications to data, such as the MGARCH-BEKK and the DCC models. The package’s func...
Conference Paper
Typical methods in CRM marketing include action selection on the basis of Markov Decision Processes with fixed transition probabilities on the one hand, and scoring customers separately in pre-defined segments on the other. This points to a gap in the usual methodology insofar as customer scoring implies the explicit use of customer-specific inform...
Article
Full-text available
The surge in oil prices in recent years has been raising questions on its implications for global imbalances and needs of policy adjustments. The slowdown in US economy has added to exacerbate these imbalances. According to press records the situation in the first half of 2008 can be characterized as follows: Oil prices went through the roof, while...
Conference Paper
The stock market of China mainland used to be secluded with respect to international economic affairs in the past. Today's globalization of markets, however, necessitates a re-assessment of international dependence of Chinese stock markets, as reflected in their major stock indices SSE Composite (Shanghai), Hang Seng (Hong Kong), and TSEC (Taipei)....
Article
Financial "contagion" across equity markets can imply the co-occurrence of periods of high volatility in more than one country, and the existence of contagion can have important financial policy implications. The economy of the People's Republic of China has grown to one of the largest in the world, but retains idiosyncrasies which distinguishes th...
Presentation
In stochastic demography, the effect of initial population age distribution on its subsequent evolution can be described in terms of reproductive value and the stable equivalent population. The concept of population momentum measures the increase in population which is due to the current age structure after the initial fertility has been dropped to...
Presentation
Crude oil prices have experienced dramatic fluctuations in recent years. News from the crude oil market will impact the stock market; generally news will act on the crude oil market as well as on the stock market. Periods of high volatility often occur simultaneously in different markets, in other words: Volatility is transmitted from one market (o...
Conference Paper
Full-text available
Annual population growth rate in Turkey is as high as 1.1 per cent, while many EU countries have shrinking, and hence ageing, populations. In this paper we consider an age-structured population that consists of female natives and Turkish immigrants into the EU. Immigrants' fertility and mortality schedule may dier from that of EU natives, their chi...
Conference Paper
Full-text available
The dependency of returns on stock indices in different countries manifests itself in a number of ways; for example, bull and bear periods may swap across borders, or non-zero correlation may be observed between weekly returns. The focus of our study is the dependency of (positive as well as negative) joint threshold exceedances of pairs of daily r...
Presentation
The investigation of phenomena of joint extreme returns on financial assets is crucial to financial risk assessment. We focussed on joint threshold exceedances of daily returns on stock indices, threshold meaning the lower, respectively upper 10% quantile of the return distribution. Exceedances in bull and bear periods were treated separately. In a...
Article
The investigation of extreme returns on financial assets is motivated, among others, by financial risk assessment. We investigate joint distributions of threshold excesses of daily returns on several stock indices, threshold meaning the 10%, respectively 90%, quantile of the return distribution. In a first step, the generalized Pareto distribution...
Chapter
Full-text available
What do we really know about the values of the parameters, e.g. traffic intensity, of a queueing system in a specific application? No matter how long we observe the system, our knowledge will always be uncertain. There is a variety of reasons why this aspect should not be neglected, for example, it may be important to detect discrepancies between d...
Article
"We consider a Leslie-type model of a one-sex (female) population of natives with constant immigration. The fertility and mortality schedule of the natives may be below or above replacement level. Immigrants retain their fertility and mortality, their children adopt the fertility and mortality of the natives. It is shown how this model may be writt...
Article
We analyze a stochastic model of a production line withk stations (machines) in series. There are finitecapacity buffers between the machines and at the end of the line. The movement of the workpieces through the line is demand-driven, i.e. we deal with a pull (kanban) production system. Processing times are assumed to be deterministic and constant...
Chapter
Full-text available
In the present paper, we consider a stochastic model of an unreliable one-card Kanban production system. The basic idea of this system is that several processing units (machines) are arranged in series, workpieces move sequentially from one unit to the next upon request. The request is signalled by a Kanban card. There is a finite capacity buffer b...
Article
Multivariate GARCH processes have been found useful in the analysis of volatility spillovers between several heteroskedastic time series. This phenomenon can frequently be observed in the behaviour of series of returns on stocks. Our package can fit several MGARCH specifications to data, such as the MGARCH-BEKK and the DCC models. The package's fun...

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Projects (4)
Project
Our goals in this project are: (1) to develop new MGARCH specifications, (2) to implement them in R, (3) to apply them to real-world problems.
Project
The goal of our project is to measure stock market connectedness and the contribution of shocks to the creation of volatility across the network of stock markets from an historical perspective.