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Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns

Ibrahim, Mansor H. - In: Asian Academy of Management Journal of Accounting and … 6 (2010) 2, pp. 115-128

This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000...

Persistent link: https://www.econbiz.de/10010612028

Virtual volatility

Silva, A. Christian; Prange, Richard E. - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 507-516

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in … the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the … portfolio. Finally, we briefly discuss the potential practical effect of the virtual volatility on an investor asset allocation …

Persistent link: https://www.econbiz.de/10010590099

Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?

Lehnert, Thorsten; Lin, Yuehao; Martelin, Nicolas - Luxembourg School of Finance, Faculté de droit, … - 2013

-reversion in volatility, those findings have been interpreted as evidence for overreaction in the options market. Focusing on a … risk-neutral volatility dynamics are substantially more persistent than the physical one. As a result, the empirical … observation of a strong reaction of longterm volatility would be consistent with perfectly rational behavior. We additionally show …

Persistent link: https://www.econbiz.de/10010900070

On the estimation and comparison of short-rate models using the generalised method of moments

Faff, R.; Gray, P. - 2006

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

Persistent link: https://www.econbiz.de/10009448412

Irreversible exit decisions under mean-reverting uncertainty

Tsekrekos, Andrianos - In: Journal of Economics 110 (2013) 1, pp. 5-23

Although many economic variables of interest exhibit a tendency to revert to long-run levels, mean reverting processes are rarely used in investment and disinvestment models in the literature. Previous work by Sarkar (J Econ Dyn Control 28(2):377–396, <CitationRef CitationID="CR34">2003</CitationRef>), that focuses on irreversible entry...</citationref>

Persistent link: https://www.econbiz.de/10010987596

PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks

Holmes, Mark; Otero, Jesús; Panagiotidis, Theodore - In: Open Economies Review 23 (2012) 5, pp. 767-783

The stationarity of OECD real exchange rates over the period 1972–2008 is tested using a panel of 26 member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of cross-sectional...

Persistent link: https://www.econbiz.de/10010988473

Optimizing sparse mean reverting portfolios

Sipos, I. Róbert; Levendovszky, János - In: Algorithmic Finance 2 (2013) 2, pp. 127-139

In this paper we investigate trading with optimal mean reverting portfolios subject to cardinality constraints. First, we identify the parameters of the underlying VAR(1) model of asset prices and then the quantities of the corresponding Ornstein-Uhlenbeck (OU) process are estimated by pattern...

Persistent link: https://www.econbiz.de/10010991435

Are Shocks to Real Output Permanent or Transitory? Evidence from a Panel of “Asean” Per Capita GDP Data

Suresh, K.; Tiwari, Aviral - In: Transition Studies Review 20 (2013) 2, pp. 149-157

Since economic theory provides reasons for nonlinearity in economic variables due to frictions/distortions in the …

Persistent link: https://www.econbiz.de/10010994571

An empirical analysis of mean reversion of the S&P 500’s P/E ratios

Becker, Ralf; Lee, Junsoo; Gup, Benton - In: Journal of Economics and Finance 36 (2012) 3, pp. 675-690

Persistent link: https://www.econbiz.de/10010848272

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

BACK, JANIS; PROKOPCZUK, MARCEL - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350032-1

This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second...

Persistent link: https://www.econbiz.de/10010883202

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