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Interdependence between foreign exchange markets and stock markets in selected European countries
Islami, Mevlud - 2008
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10010291121
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Brokers and business cycles: Does financial market volatility cause real fluctuations?
Döpke, Jörg; Pierdzioch, Christian - 1998
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data … the future stance of the business cycle and on the volatility of industrial production. The results of our empirical … investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. …
Persistent link: https://www.econbiz.de/10010275423
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - 1998
Die Beiträge des Bandes befassen sich mit den Mechanismen der Preisbildung auf den Finanz- und Devisenmärkten. Besonderes Interesse gilt der Rolle von Spekulation und Arbitrage und der sich daraus ergebenden Volatilität der Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die...
Persistent link: https://www.econbiz.de/10014493204
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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …
Persistent link: https://www.econbiz.de/10010286258
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang Karl - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10010274143
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136
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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - 2004
States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …
Persistent link: https://www.econbiz.de/10010295650
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010297797
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010303687