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The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging Markets Finance and Trade 47 (2011) 6, pp. 99-119
Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on …
Persistent link: https://www.econbiz.de/10010612800
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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison
Jirasakuldech, Benjamas; Campbell, Robert; Emekter, Riza - In: The Journal of Real Estate Finance and Economics 38 (2009) 2, pp. 137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972 …
Persistent link: https://www.econbiz.de/10005680573
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Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Hillebrand, Eric - EconWPA - 2003
. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …
Persistent link: https://www.econbiz.de/10005119104
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Volatility Persistence in Crude Oil Markets
Charles, Amélie; Darné, Olivier - HAL - 2012
Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...
Persistent link: https://www.econbiz.de/10010558719
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International Journal of Economics and Business Research 9 (2015) 1, pp. 23-36
of volatility decay. Generalised autoregressive conditional heteroscedaticity (GARCH) and GARCH-in-mean (GARCH-M) models …
Persistent link: https://www.econbiz.de/10011207784
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E-exchange and the Boundary between Households and Organizations
Lindbeck, Assar; Wikström, Solveig - CESifo - 2002
The new information and communication technology, ICT, induces households to take over tasks from firms and government agencies, using tools and systems provided by these very same organizations. The result is often joint production activities. We argue that the importance of ICT for the...
Persistent link: https://www.econbiz.de/10005181571
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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The Markov Switching Asymmetric Multiplicative Error Model
Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2012
The empirical evidence behind the dynamics of high frequency based measures of volatility is that they exhibit persistence and at times abrupt changes in the average level by subperiods. In the past ten years this pattern has a clear interpretation in reference to the dot com bubble, the quiet...
Persistent link: https://www.econbiz.de/10010860667
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Forecasting Realized Volatility with Changes of Regimes
Gallo, Giampiero M.; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2014
Realized volatility of financial time series generally shows a slow–moving average level from the early 2000s to recent times, with alternating periods of turmoil and quiet. Modeling such a pattern has been variously tackled in the literature with solutions spanning from long–memory, Markov...
Persistent link: https://www.econbiz.de/10010862522