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Relative forecasting performance of volatility models: Monte Carlo evidence
Lux, Thomas; Morales-Arias, Leonardo - 2010
components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE …
Persistent link: https://www.econbiz.de/10010265831
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Jensen, Anders Tolver; Lange, Theis - School of Economics and Management, University of Aarhus - 2009
We address the IGARCH puzzle by which we understand the fact that a GARCH(1,1) model fitted by quasi maximum likelihood estimation to virtually any financial dataset exhibit the property that alpha^hat + beta^hat is close to one. We prove that if data is generated by certain types of continuous...
Persistent link: https://www.econbiz.de/10005198859
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Performance of the multifractal model of asset returns (MMAR): Evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns … of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory … consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for …
Persistent link: https://www.econbiz.de/10011709007
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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - 2015
Persistent link: https://www.econbiz.de/10011632222
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A multifractal model of asset (in)variances
Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014433281
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns … of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory … consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for …
Persistent link: https://www.econbiz.de/10011474619
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International asset prices : empirical evidence
Leonardo Morales-Arias - 2009
The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...
Persistent link: https://www.econbiz.de/10009429017
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How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market
Sattarhoff, Cristina; Gronwald, Marc - 2018
coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the …
Persistent link: https://www.econbiz.de/10011887362
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12
anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …
Persistent link: https://www.econbiz.de/10013201335
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Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis
Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-18
The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...
Persistent link: https://www.econbiz.de/10012611450