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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723
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Estimating persistence in the volatility of asset returns with signal plus noise models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …
Persistent link: https://www.econbiz.de/10003968659
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Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
Caporale, Guglielmo Maria - 2010
This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …
Persistent link: https://www.econbiz.de/10013141135
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Persistence in high frequency financial data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10013419363
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Unemployment and input prices : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
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Modelling volatility of cryptocurrencies using Markov-switching GARCH models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
This paper aims to select the best model or set of models for modelling volatility of the four most popular …
Persistent link: https://www.econbiz.de/10011882344
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Long memory in UK real GDP, 1851 – 2013: an ARFIMA-FIGARCH analysis
Caporale, Guglielmo Maria; Škare, Marinko - 2014
volatility (d = 0.80) is also confirmed. …
Persistent link: https://www.econbiz.de/10010367157
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
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Volatility forecasts for the RTS stock index : optionimplied volatility versus alternative methods
Caporale, Guglielmo Maria; Teterkina, Daria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …
Persistent link: https://www.econbiz.de/10011997328