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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10012871648
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On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries
Arouri, Mohamed El Hedi; Rault, Christophe - 2009
This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods to investigate the existence of a long-run relationship between oil prices and Gulf Corporation Countries (GCC) stock markets. Since GCC countries are major world energy market...
Persistent link: https://www.econbiz.de/10010270599
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Hoarding of International Reserves : Mrs Machlup's Wardrobe and the Joneses
Cheung, Yin-Wong; Qian, Xingwang - 2021
crisis period. Individual economy estimation results, however, show that the Joneses effect varies across economies …
Persistent link: https://www.econbiz.de/10013316903
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Consumption risk sharing over the business cycle: the role of small firms' access to credit markets
Hoffmann, Mathias; Shcherbakova, Iryna - 2009
Consumption risk sharing among U.S. federal states increases in booms and decreases in recessions. We find that small firms' access to credit markets plays an important role in explaining this stylized fact: business cycle fluctuations in aggregate risk sharing are more pronounced in states in...
Persistent link: https://www.econbiz.de/10010264555
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Hoarding of international reserves: Mrs Machlup's wardrobe and the joneses
Cheung, Yin-Wong; Qian, Xingwang - 2007
crisis period. Individual economy estimation results, however, show that the Joneses effect varies across economies. …
Persistent link: https://www.econbiz.de/10010276301
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The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10013235116
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Asymmetry in volatility: A comparison of developed and transition stock markets
Wdowiński, Piotr; Malecka, Marta - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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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
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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