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Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2023

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10014262560

Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Dynamic Spending Responses to Wealth Shocks : Evidence from Quasi-Lotteries on the Stock Market

Andersen, Asger Lau; Johannesen, Niels; Sheridan, Adam - 2021

How much and over what horizon do households adjust their consumption in response to stock market wealth shocks? We address these questions using granular data on spending and stock portfolios from a large bank and exploiting lottery-like variation in gains across investors with similar...

Persistent link: https://www.econbiz.de/10013219064

Deterministic versus stochastic seasonal fractional integration and structural breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10010264124

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

Persistent link: https://www.econbiz.de/10012824829

Aggregate Insider Trading and Stock Market Volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014347820

Liberalization and Stock Market Co-Movement between Emerging Economies

Beine, Michel A. R.; Candelon, Bertrand - 2021

reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …

Persistent link: https://www.econbiz.de/10013316796

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