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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
Lecarpentier-Moyal, Sylvie; Prat, Georges; … - Institut de Préparation à l'Administration et à la … - 2013
the intraday volatility using a FIGARCH model and the intraday seasonality by the Fourier Flexible Form. We find that …
Persistent link: https://www.econbiz.de/10010754712
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Do Chinese stock markets share common information arrival processes?
Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004
long memory. This paper uses fractionally integrated GARCH (FIGARCH) to test and account for long memory. The analysis …
Persistent link: https://www.econbiz.de/10005407887
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Long Memory Analysis: An Empirical Investigation
Nazarian, Rafik; Naderi, Esmaeil; Alikhani, Nadiya G.; … - In: International Journal of Economics and Financial Issues 4 (2014) 1, pp. 16-26
(ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for … feature in FIGARCH models makes them a better candidate than other conditional heteroskedasticity models for modeling … regression technique was used for estimation of different ARFIMA models. Furthermore, different GARCH-type models were also …
Persistent link: https://www.econbiz.de/10010734732
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalin; Kaya, Orcun - Deutsche Bundesbank - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...
Persistent link: https://www.econbiz.de/10010984736
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Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation
Tschernig, Rolf; Weber, Enzo; Weigand, Roland - Wirtschaftswissenschaftliche Fakultät, Universität … - 2013
Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive...
Persistent link: https://www.econbiz.de/10010850102
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014
This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the...
Persistent link: https://www.econbiz.de/10010935035
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VOLATILITY DYNAMICS IN FOREIGN EXCHANGE RATES: FURTHER EVIDENCE FROM THE MALAYSIAN RINGGIT AND SINGAPORE DOLLAR
HO, KIN-YIP; TSUI, ALBERT K - In: Annals of Financial Economics (AFE) 04 (2008) 01, pp. 0850004-1
The evolution of volatility and correlation patterns of the Malaysian ringgit (MYR) and the Singapore dollar (SGD) are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and time-varying correlations of...
Persistent link: https://www.econbiz.de/10010936581
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Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA
Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2000
Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has...
Persistent link: https://www.econbiz.de/10005022322
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An analysis of inflation rates in the european union using wavelets: strong evidence against unit roots
Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2002
In many fields of economic analysis the order of integration of some economic magnitudes is of particular interest. Among other aspects, the order of integration determines the degree of persistence of that magnitude. The rate of inflation is a very interesting example because many contradictory...
Persistent link: https://www.econbiz.de/10005022343