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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

Persistent link: https://www.econbiz.de/10005198022

Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?

Hellström, Jörgen; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006

This paper empirically tests whether an open limit order book contains information about future short-run stock price movements. To account for the discrete nature of price changes, the integer-valued autoregressive model of order one is utilized. A model transformation has an advantage over...

Persistent link: https://www.econbiz.de/10005198023

ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - Institutionen för Nationalekonomi, Umeå Universitet - 2000

The asymmetric moving average model (asMA) is extended to allow for asymmetric quadratic conditional heteroskedasticity (asQGARCH). The asymmetric parametrization of the conditional variance encompasses the quadratic GARCH model of Sentana (1995). We introduce a framework for testing asymmetries...

Persistent link: https://www.econbiz.de/10005771222

Le management stratégique et financier de l’investissement : un siècle d’histoire de la décision dans l’industrie française de l’aluminium.

Pezet, Anne - Université Paris-Dauphine - 2000

L’investissement est une des décisions de l’entreprise qui recouvre de nombreux aspects, parmi lesquels la finance et … décisions d’investissement dans l’industrie française de l’aluminium permet de montrer comment coexistent finance et stratégie …investment decision is one of those which recovers many aspects of firms management especially fi-nance and strategy …

Persistent link: https://www.econbiz.de/10008551614

Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2002

Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.

Persistent link: https://www.econbiz.de/10005424016

An Alternative Conditional Asymmetry Specification for Stock Returns

Brännäs, Kurt; Nordman, Niklas - Institutionen för Nationalekonomi, Umeå Universitet - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10005651999