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Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques
Mergner, Sascha - EconWPA - 2005
stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …
Persistent link: https://www.econbiz.de/10005076972
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Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
Mergner, Sascha; Bulla, Jan - EconWPA - 2005
are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …
Persistent link: https://www.econbiz.de/10005077020
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Efficiency tests in the Iberian stock markets
Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004
This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...
Persistent link: https://www.econbiz.de/10005134722
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Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation
Hillebrand, Eric - EconWPA - 2005
After the stock market crash of 1987, Fischer Black proposed a model in which he explained the crash by inconsistencies in the formation of expectations of mean reversion in stock returns. Following this explanation, a model that allows for mean reversion in stock returns is estimated on daily...
Persistent link: https://www.econbiz.de/10005413206
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Market Efficiency and the Euro: The case of the Athens Stock Exchange
Panagiotidis, Theodore - EconWPA - 2005
The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...
Persistent link: https://www.econbiz.de/10005413222
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Introduction to Market Microstructure
EKINCI, Cumhur - EconWPA - 2004
Persistent link: https://www.econbiz.de/10005134945
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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005
return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …
Persistent link: https://www.econbiz.de/10005413108
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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
SULEIMANN, Ryan - EconWPA - 2003
financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …
Persistent link: https://www.econbiz.de/10005124892
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Time-Varying Arrival Rates of Informed and Uninformed Trades
Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002
the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …
Persistent link: https://www.econbiz.de/10005413104
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The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
SULEIMANN, Ryan - EconWPA - 2003
, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …
Persistent link: https://www.econbiz.de/10005556399