Similar Search Results

Nneji, Ogonna - 2014

market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase … the probability of stock market bubbles collapsing. Second, market liquidity has a more prevalent effect on stock bubbles …

Persistent link: https://www.econbiz.de/10013063524

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...

Persistent link: https://www.econbiz.de/10012672178

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

Persistent link: https://www.econbiz.de/10010503717

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10001617689

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...

Persistent link: https://www.econbiz.de/10014285928

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …

Persistent link: https://www.econbiz.de/10011555939

Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors

Fu, Man - 2011

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s …

Persistent link: https://www.econbiz.de/10013119302

Intrinsic Bubbles and Fat Tails in Stock Prices : A Note

Bidarkota, Prasad V. - 2019

dividend stream is modeled as a random walk with innovations drawn from the family of stable distributions. We derive an exact …-driven intrinsic bubbles to explain the observed variation in annual U.S. stock prices. We compare results obtained in this setting …

Persistent link: https://www.econbiz.de/10012889782

Intrinsic Bubbles in Stock Prices Under Persistent Dividend Growth Rates

Awwal, Faisal M. - 2019

We extend the constant discount factor model with intrinsic bubbles developed in Froot and Obstfeld (1991) to account … for serial correlation in dividend growth rates. We derive an exact analytical expression for both the present value stock … price and an intrinsic bubble component when dividend growth rates evolve as a Gaussian first-order autoregressive process …

Persistent link: https://www.econbiz.de/10012894388

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