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Long Memory in the Ukrainian Stock Market and Financial Crises
Caporale, Guglielmo Maria - 2014
This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the...
Persistent link: https://www.econbiz.de/10013046301
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A Bayesian analysis of unit roots and structural breaks in the level and the error variance of autoregressive models
Meligkotsidou, Loukia; Tzavalis, Elias; Vrontos, Ioannis D. - 2004
In this paper, a Bayesian approach is suggested to compare unit root models with stationary models when both the level and the error variance are subject to structural changes (known as breaks) of an unknown date. The paper utilizes analytic and Monte Carlo integration techniques for calculating...
Persistent link: https://www.econbiz.de/10010284115
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A Source of Long Memory in Volatility
Hyung, Namwon; Poon, Ser-Huang; Granger, Clive W. J. - Manchester Business School - 2004
The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …
Persistent link: https://www.econbiz.de/10005870000
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010
We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct cointegration approaches confirm the latter through...
Persistent link: https://www.econbiz.de/10010273679
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Volatility, Information and Stock Market Crashes
Antonakakis, Nikolaos; Scharler, Johann - 2009
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …
Persistent link: https://www.econbiz.de/10010294846
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A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market
Graflund, Andreas - 2000
In this paper we use a Bayesian approach to test for mean reversion in the Swedish stock market on monthly data 1918-1998. By simply account for the heteroscedasticty of the data with a two state hidden Markov model of normal distributions and taking estimation bias into account via Gibbs...
Persistent link: https://www.econbiz.de/10013208407
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Are the Nordic Stock Markets Mean Reverting?
Graflund, Andreas - 2001
In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no...
Persistent link: https://www.econbiz.de/10013208422
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Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios
Graflund, Andreas - 2002
This paper introduces a new non-parametric approach to integrate empirical probability functions of the real return for different investment horizons for five portfolios of Swedish stocks and bonds. In our setting the problem reduces to generating new generalizations from an empirical Markov...
Persistent link: https://www.econbiz.de/10013208423
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ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test
Nakatsuma, Teruo; Tsurumi, Hiroki - 1996
We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...
Persistent link: https://www.econbiz.de/10010334349
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Hidden Markov models in time series, with applications in economics
Kaufmann, Sylvia - 2016
Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...
Persistent link: https://www.econbiz.de/10011629990