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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Persistent link: https://www.econbiz.de/10011335205

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

How to identify and forecast bull and bear markets?

Kole, Erik; Dijk, Dick van - 2013

Persistent link: https://www.econbiz.de/10010230032

The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations

Chulia-Soler, Helena (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003651504

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Size and momentum profitability in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big stocks. Momentum premia are considerably diminished by...

Persistent link: https://www.econbiz.de/10011412159

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015

We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...

Persistent link: https://www.econbiz.de/10011412487

Size and momentum profitability in internaitonal stock markets

Schmidt, Peter S.; Schrimpf, Andreas; Arx, Urs von; … - 2015

Persistent link: https://www.econbiz.de/10011389233

Has the pricing of stocks become more global?

Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2016

Persistent link: https://www.econbiz.de/10011533600

The FOMC risk shift

Schmeling, Maik; Schrimpf, Andreas; Kroencke, Tim-Alexander - 2019

Persistent link: https://www.econbiz.de/10012197790