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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Lux, Thomas; Morales-Arias, Leonardo - 2009

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …

Persistent link: https://www.econbiz.de/10003864486

Phase transition in the S&P stock market

Raddant, Matthias; Wagner, Friedrich - 2013

We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...

Persistent link: https://www.econbiz.de/10009762492

Heterogeneous forecasters and nonlinear expectation formation in the US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...

Persistent link: https://www.econbiz.de/10010384168

Transitions in the stock markets of the US, UK, and Germany

Raddant, Matthias; Wagner, Friedrich - 2014

In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets were focused on stocks from the IT and technology sector around the year 2000, this focus has vanished and the markets have mostly moved towards a focus...

Persistent link: https://www.econbiz.de/10010461235

Mass psychology in action : identification of social interaction effects in the German stock market

Lux, Thomas - 2009

We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes,...

Persistent link: https://www.econbiz.de/10003828690

Nonlinear expectation formation in the U.S. stock market : empirical evidence from the Livingston survey

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015

Persistent link: https://www.econbiz.de/10011452463

Business cycle fluctuations and international financial integration

Kizys, Renatas (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001936260

Interconnectedness in the global financial market

Raddant, Matthias; Kenett, Dror Y. - 2017

analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility … heterogeneity among stocks is a non-negligible aspect of this volatility. …

Persistent link: https://www.econbiz.de/10011635363

Stock market wealth, private saving, and the current account in the United States : should we worry?

Strauß, Hubert - 1999

The paper investigates by means of cointegration analysis whether the recently observed low levels of private saving and the current account balance in the United States are worrisome in the sense that they cannot be sufficiently explained by determinants which performed well in the past. Stock...

Persistent link: https://www.econbiz.de/10011475984

Regulatory choices and commitment : challenges for electricity market regulation in Kosovo

Kumkar, Lars - 2002

This paper aims at describing the choices to be made in selecting and implementing a reform model for the electricity industry and to derive some implications for the situation in Kosovo. The paper argues that the appropriate reform model depends on the circumstances in the considered...

Persistent link: https://www.econbiz.de/10011474987