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Have bull and bear markets changed over time? Empirical evidence from the US-stock market
Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171
This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...
Persistent link: https://www.econbiz.de/10010286823
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Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10010322302
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351
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The Japanese economy in crises: A time series segmentation study
Cheong, Siew Ann; Fornia, Robert Paulo; Lee, Gladys Hui Ting - 2011
We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and...
Persistent link: https://www.econbiz.de/10010305849
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Short Patches of Outliers, ARCH and Volatility Modeling
Franses, Philip Hans; van Dijk, Dick; 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/10010324601
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Dependencies between European stock markets when price changes are unusually large
Schich, Sebastian T. - 2002
ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …
Persistent link: https://www.econbiz.de/10010295729
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The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study
Eberts, Elke - 2003
This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating...
Persistent link: https://www.econbiz.de/10010297288
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Fortgeschrittene technische Indikatoren am Aktienmarkt: Eine empirische Analyse
Hornbach, Christian; Hellenkamp, André - 2011
Persistent link: https://www.econbiz.de/10010475190
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Was bewegt den DAX?
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - In: ifo Schnelldienst 66 (2013) 23, pp. 32-36
, wirken sich in rund zwei Drittel der Fälle sofort auf den deutschen Aktienmarkt aus. Vor allem Daten zu Investitionen, Zahlen …
Persistent link: https://www.econbiz.de/10011693574