Similar Search Results

On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market

Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of Risk and Financial Management 13 (2020) 1, pp. 1-14

The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...

Persistent link: https://www.econbiz.de/10012611237

Better not forget: On the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014332873

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10012610989

Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012611104

Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple

Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-20

the use of fractional Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) extensions as suitable modelling … technique. Our findings indicate that the Hyperbolic GARCH (HYGARCH) model appears to be the best fitted model for Bitcoin. On … the other hand, the Fractional Integrated GARCH (FIGARCH) model with skewed student distribution produces better …

Persistent link: https://www.econbiz.de/10012611336

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-18

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation of a high-frequency series. Based on the theory of...

Persistent link: https://www.econbiz.de/10012611390

True versus spurious long memory in cryptocurrencies

Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 186

We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives,...

Persistent link: https://www.econbiz.de/10012611449

Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-18

The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...

Persistent link: https://www.econbiz.de/10012611450

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-15

generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10013200998

Bitcoin return volatility forecasting: A comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18

forecasting accuracy and risk management efficiency. The results demonstrate that the RNN outperforms GARCH and EWMA in average …

Persistent link: https://www.econbiz.de/10013201021