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Complex interactions in financial markets
Finger, Karl - 2014
Persistent link: https://www.econbiz.de/10011305495
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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
Persistent link: https://www.econbiz.de/10012199998
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Relative forecasting performance of volatility models : Monte Carlo evidence
Lux, Thomas; Morales-Arias, Leonardo - 2010
A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional Heteroskedasticity...
Persistent link: https://www.econbiz.de/10003932329
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...
Persistent link: https://www.econbiz.de/10009389845
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Financial power laws : empirical evidence, models, and mechanism
Lux, Thomas (contributor) - 2006
Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust...
Persistent link: https://www.econbiz.de/10003392144
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Fractional integration in the purchasing power parity
Gil-Alaña, Luis A. - 1998
Persistent link: https://www.econbiz.de/10000994027
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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An analysis of systematic risk in worldwide econonomic sentiment indices
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018 - Ver. January 2, 2018
tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information … embedded in the interactions between economic and business sentiment indices around the world. We find that: (i) The dynamics … collapse of the US housing market in 2007, can lead to a homogenization of the expectation structure around the world, as such …
Persistent link: https://www.econbiz.de/10011790790
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563