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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and …

Persistent link: https://www.econbiz.de/10012520275

Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns

Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13

suggests the misspecification of the underlying factor model, typically the Fama-French model. By drawing upon recent panel …

Persistent link: https://www.econbiz.de/10012022242

Models for expected returns with statistical factors

Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17

In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from statistical measurements on stock prices - in particular, coefficient of...

Persistent link: https://www.econbiz.de/10012392578

On combining evidence from heteroskedasticity robust panel unit root tests in pooled regressions

Arnold, Martin C.; Hanck, Christoph - In: Journal of risk and financial management : JRFM 12 (2019) 3/117, pp. 1-22

Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational … reinvestigates whether there is a unit root in OECD inflation rates. We find evidence that inflation is stationary for long …

Persistent link: https://www.econbiz.de/10012027060

Inflation forecasts and European asset returns : a regime-switching approach

Pesci, Nicolas; Aguilar, Jean-Philippe; James, Victor; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

and low concern about inflation. Using a complete cross-asset panel of equity sectors, bonds, and commodities, we perform …Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non … inflation is regime-dependent. We show that inflation-indexed government bonds and oil are the best way to get exposure to slow …

Persistent link: https://www.econbiz.de/10013471143

Multiscale stochastic volatility model with heavy tails and leverage effects

Men, Zhongxian; Wirjanto, Tony S.; Kolkiewicz, Adam W. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-28

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two...

Persistent link: https://www.econbiz.de/10012587454

Monte Carlo comparison for nonparametric threshold estimators

Chen, Chaoyi; Sun, Yiguo - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-15

This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold...

Persistent link: https://www.econbiz.de/10011895629

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the front month contracts followed by an implication discussion...

Persistent link: https://www.econbiz.de/10012794710

A test of market efficiency when short selling is prohibited : a case of the Dhaka Stock Exchange

Sochi, Maria; Swidler, Steven Mark - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17

A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for...

Persistent link: https://www.econbiz.de/10011961443

Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

self-excited. A novel Markov-Chain Monte Carlo method (MCMC) is developed for parameter estimation of the model. For model … the proposed TSCD model and MCMC method work well in terms of parameter estimation and duration forecasting. Lastly, the …

Persistent link: https://www.econbiz.de/10012022077