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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange
Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140
This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …
Persistent link: https://www.econbiz.de/10009958079
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10009958060
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Modeling stock market indexes with copula functions
Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 2, pp. 1-16
Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models...
Persistent link: https://www.econbiz.de/10009959716
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Global imbalances in current account balances
Bildirici, Melike; Kayıkçı, Fazil - In: Journal of applied finance & banking 2 (2012) 6, pp. 83-93
Persistent current account deficits were observed in some developing countries that are received substantial foreign capital in the last decades. This has raised the issue of sustainability and increased the volume of studies about the measures of sustainable current account deficits in the...
Persistent link: https://www.econbiz.de/10010118422
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Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting
Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132
In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...
Persistent link: https://www.econbiz.de/10010148054
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …
Persistent link: https://www.econbiz.de/10010058691
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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162
procedure ; cointegration ; quasi-maximum-likelihood estimation ; index-tracking …
Persistent link: https://www.econbiz.de/10009958479
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
. There is evidence given that equity price busts being associated with recessions continue until the economy switches from … benchmark with a marginal lower volatility as the benchmark, respectively, 28.08% p.a. with 7.99 percent units higher volatility … as the benchmark. -- statistical arbitrage ; financial crises ; equity price busts ; cointegration …
Persistent link: https://www.econbiz.de/10009958483
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What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models
Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27
allocations is challenging since higher returns are basically associated with higher risks. The estimation procedure which is …
Persistent link: https://www.econbiz.de/10010009113
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Currency exposure, second-moment exchange rate exposure and asymmetric volatility of stock returns : the effects of financial crises on Taiwanese firms
Varga, René Ferenc Franck - In: Journal of applied finance & banking 3 (2013) 2, pp. 15-37
equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate …
Persistent link: https://www.econbiz.de/10010148075