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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13
This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...
Persistent link: https://www.econbiz.de/10012022130
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Is one diagnostic test for COVID-19 enough?
McAleer, Michael - In: Journal of risk and financial management : JRFM 13 (2020) 4/77, pp. 1-3
There is no doubt about the importance of diagnostic testing in an emergency; specifically, which range of tests is available, where and when they are dispensed, and who might be tested using laboratory-developed tests, or other diagnostic tests including experimental tests. This includes...
Persistent link: https://www.econbiz.de/10012302713
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GARCH modelling of cryptocurrencies
Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...
Persistent link: https://www.econbiz.de/10011854856
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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The Burr X Pareto Distribution : properties, applications and VaR estimation
Korkmaz, Mustafa Ç.; Altun, Emrah; Yousof, Haitham M.; … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-16
In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate...
Persistent link: https://www.econbiz.de/10011854963
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Smoothed maximum score estimation of discrete duration models
Reza, Sadat; Rilstone, Paul - In: Journal of risk and financial management : JRFM 12 (2019) 2/64, pp. 1-16
This paper extends Horowitz's smoothed maximum score estimator to discrete-time duration models. The estimator's consistency and asymptotic distribution are derived. Monte Carlo simulations using various data generating processes with varying error distributions and shapes of the hazard rate are...
Persistent link: https://www.econbiz.de/10012022194
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Multivariate student versus multivariate Gaussian regression models with application to finance
Thi Huong An Nguyen; Ruiz-Gazen, Anne; Thomas-Agnan, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/28, pp. 1-21
To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and...
Persistent link: https://www.econbiz.de/10012022338
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On the Kavya-Manoharan-Burr X model : estimations under ranked set sampling and applications
Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20
A new two-parameter model is proposed using the Kavya-Manoharan (KM) transformation family and Burr X (BX) distribution. The new model is called the Kavya-Manoharan-Burr X (KMBX) model. The statistical properties are obtained, involving the quantile (QU) function, moment (MOs), incomplete MOs,...
Persistent link: https://www.econbiz.de/10014295425
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April … 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest … GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares …
Persistent link: https://www.econbiz.de/10012626337
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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
asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … properties of the spectral density function of realized volatility series, constructed from squared returns with different … new features of volatility in financial market indices. The theoretical findings are illustrated via the analysis of both …
Persistent link: https://www.econbiz.de/10012321959