Showing 1 - 10 of 1,223
This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...
Persistent link: https://www.econbiz.de/10005515407
This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...
Persistent link: https://www.econbiz.de/10005518249
We develop some properties on the autocorrelation of the k-period returns for the general mean reversion (GMR) process in which the stationary component is not restricted to the AR(l) process but take the form of a general ARMA process. We then derive some properties of the GMR process and three...
Persistent link: https://www.econbiz.de/10005518280
This paper uses the approach suggested by Akrigay (1989), Tse and Tung (1992) and Dimson and Marsh (1990) to examine the forecasting accuracy of stock price index models for industrialised markets. The focus of this paper is to compare the Mean Absolute Percentage Error (MAPE) of three models,...
Persistent link: https://www.econbiz.de/10005543992
This article examines a wide variety of popular volatility models for stock index return, including the random walk (RW), autoregressive, generalized autoregressive conditional heteroscedasticity (GARCH), and asymmetric GARCH models with normal and non-normal (Student's t and generalized error)...
Persistent link: https://www.econbiz.de/10005495292
Overlapping financial returns are sometimes used to increase the efficiency and power of statistical tests and for Value-at-Risk analysis. This is particularly useful when there are not many observations, such as daily returns for emerging markets. Sometimes, returns show autocorrelation. In...
Persistent link: https://www.econbiz.de/10005495411
Persistent link: https://www.econbiz.de/10005395669
Persistent link: https://www.econbiz.de/10005395738
We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of...
Persistent link: https://www.econbiz.de/10005413205
The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...
Persistent link: https://www.econbiz.de/10005413222