Narrow search
Showing 1 - 10 of 1,815
Cover Image
High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
Cover Image
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/10013419363
Cover Image
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
Persistent link: https://www.econbiz.de/10003965868
Cover Image
Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10011674278
Cover Image
An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 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/10011398115
Cover Image
The role of the IFO business climate indicator and asset prices in German monetary policy : presented at CEFifo conference "Academic Use of ifo Survey Data", December 2003
Sterken, Elmer - 2004
We analyze the role of forward-looking indicators, like the IFO business climate indicator and asset prices, in German monetary transmission. We show that the use of both the IFO indicator and asset prices improves the performance and interpretation of a Vector AutoRegression (VAR) model of...
Persistent link: https://www.econbiz.de/10011449258
Cover Image
Stock market linkages between the ASEAN countries, China and the US : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...
Persistent link: https://www.econbiz.de/10011982404
Cover Image
Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013368898
Cover Image
Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …
Persistent link: https://www.econbiz.de/10011903723
Cover Image
Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012158736