We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we...

We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes,...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...

Multi-fractal processes have been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found to characterize...

Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...

It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...

Multifractal processes have recently been proposed as a new formalism for modelling the time series of returns in insurance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...

This paper serves two purposes. First, we introduce a new data set on the German stock marketwhich is publicly available to all researchers. It comprises factor returns (a market factor, asize factor, a book-to-market factor, and a momentum factor) as well as returns of portfolioswhich are...

This paper investigates whether investor sentiment can explain stock returns on theGerman stock market. Based on a principal component analysis, we construct a senti-ment indicator that condenses information of several well-known sentiment proxies. Weshow that this indicator explains the return...