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Long-Term Dependence Characteristics of European Stock Indices
LOS, CORNELIS A.; LIPKA, JOANNA M. - EconWPA - 2004
In this paper we show the degrees of persistence of the time series if eight European stock market indices are measured, after their lack of ergodicity and stationarity has been established. The proper identification of the nature of the persistence of financial time series forms a crucial step...
Persistent link: https://www.econbiz.de/10005413038
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Proxying for Expected Returns with Price Earnings Ratios
Hansen, Charlotte S.; Tuypens, Bjorn E. - EconWPA - 2004
Long-run regression models using the trailing earnings over price ratio to predict future returns suggested by Campbell and Shiller (1988, 2001) work quite well. However, in this note we show that this variable might result in a downward biased proxy for expected future returns. Instead we...
Persistent link: https://www.econbiz.de/10005134659
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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
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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach
SULEIMANN, Ryan - EconWPA - 2003
modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …
Persistent link: https://www.econbiz.de/10005119158
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Non-stationarities in stock returns
Starica, Catalin; Granger, Clive - EconWPA - 2004
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...
Persistent link: https://www.econbiz.de/10005119176
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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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CONDITIONAL VOLATILITY OF MOST ACTIVE SHARES OF CASABLANCA STOCK EXCHANGE
Bouhadi, Abdelhamid El - EconWPA - 2003
Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk … problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of … not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered …
Persistent link: https://www.econbiz.de/10005413037
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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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Model Selection and Simplification Using Lattices
Antoch, Jaromir; Hanousek, Jan - EconWPA - 2001
This paper shows how to cope with a problem of model selection and simplification using the principle of coherence (Gabriel (1969): A procedure involving testing a set of models ought not accept a model while rejecting a more general model). The mathematical lattice theory is used to define a...
Persistent link: https://www.econbiz.de/10005407880
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Econometric application of linear programming: a model of Russian large-scale farm (the case of the Moscow Region)
Svetlov, Nikolai - EconWPA - 2001
Linear programming model and general reciprocity theorem in mathematical programming are used to ap-proach utility functions of six large-scale Russian (the Moscow Region) case farms representing different production patterns. Technological coefficients of linear programmes are defined by means...
Persistent link: https://www.econbiz.de/10005407884