Showing 1 - 10 of 112
The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period value-at-risk (VaR) and expected shortfall (ES) across 20 stock indices worldwide. The dataset is composed of daily data covering the...
Persistent link: https://www.econbiz.de/10010636498
It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the...
Persistent link: https://www.econbiz.de/10010730276
This study examines whether the output gap leads portfolio stock returns. The paper conducts in-sample and out-of-sample forecasting of US stock portfolios formed on the basis of size and value. First, the paper finds cross-sectional portfolios are predictable in-sample by the output gap....
Persistent link: https://www.econbiz.de/10010617260
This paper proposes a binary response model approach to measure and forecast extreme downside risks in Asia-Pacific markets given information on extreme downside risks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of extreme downside...
Persistent link: https://www.econbiz.de/10011056745
We suggest a new measure of total ex-ante volatility (EAV) in stock returns, which includes traditional non-market (or idiosyncratic) risk and the unexpected component of market return. We find that the portfolio-level EAV measure exhibits strong predictive power for the cross-section of average...
Persistent link: https://www.econbiz.de/10010786511
This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, Portugal, the UK and US. We perform two innovative statistical tests...
Persistent link: https://www.econbiz.de/10011077784
In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome difficulties with each method type of analysis. We also create...
Persistent link: https://www.econbiz.de/10011077785
Using stochastic dominance (SD) approach, this paper revisits the Ramadan effect in the stock returns of 15 Muslim countries and altogether as a portfolio. Our study is motivated by the preferred statistical attributes of SD analysis. Specifically, SD requires no normal distribution of returns...
Persistent link: https://www.econbiz.de/10010786507
Testing short-horizon technical trend-following rules, including the first comprehensive evidence on the relatively-neglected MACD rule, on a large panel of world stock market indexes, we investigate the determinants of technical trading rule profitability. The main driver of trend-following...
Persistent link: https://www.econbiz.de/10011056751
This study addresses the impact of equity market liquidity on Canadian economic growth and investigates how consumer attitudes/sentiments affect the dynamic macro-liquidity relationship. Using various market liquidity proxies (e.g., illiquidity ratio and open interest of equity futures) while...
Persistent link: https://www.econbiz.de/10011056763