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Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, 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/10012321959

True versus spurious long memory in cryptocurrencies

Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, 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/10012386884

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 : JRFM 13 (2020) 10/248, 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 … Detrended Fluctuation Analysis (MFDFA) and Multifractal Detrended Cross-Correlation Analysis (MFDCCA) are conducted to capture … breaks. Both volume and price-volume cross-correlation are anti-persistent in all the structural segments. In other words …

Persistent link: https://www.econbiz.de/10012387122

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 : JRFM 13 (2020) 6/107, pp. 1-20

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long memory property using, Rescaled Range Statistics (R/S),...

Persistent link: https://www.econbiz.de/10012305060

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 : JRFM 12 (2019) 2/94, 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/10012022043

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 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/10011854876

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

Persistent link: https://www.econbiz.de/10011545240

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

Persistent link: https://www.econbiz.de/10012813273

Choosing a price and cost combination : the role of correlation

Bar-Ilan, Avner; Maoz, Yishay - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

, where both output price and production cost are stochastic processes, and add a novel focus on how the correlation between … correlation between the processes, as it seeks a greater profitability variance which maximizes its value. …

Persistent link: https://www.econbiz.de/10012795559

Monthly art market returns

Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22

a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation …

Persistent link: https://www.econbiz.de/10012304909