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Y a-t-il une théorie des marchés financiers ?.
Galavielle, Jean-Pierre - Maison des Sciences Économiques, Université Paris 1 … - 2003
Ever since the Creation of the stock exchange, scientists have tried to endow them with a theoretical representation. Mathematicians endeavoured to demonstrate that the Gaussian character of financial markets should by necessity neutralise any speculative temptation. Astrophysicists went further...
Persistent link: https://www.econbiz.de/10005696806
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10009363828
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10009363861
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Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns
Ibrahim, Mansor H. - In: Asian Academy of Management Journal of Accounting and … 6 (2010) 2, pp. 115-128
This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000...
Persistent link: https://www.econbiz.de/10010612028
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Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH
Palacio, David Mauricio Rivera - In: REVISTA DE ECONOMÍA DEL ROSARIO (2009)
En este trabajo se estudia el comportamiento de los retornos delos tres principales índices bursátiles de Colombia: el IBB de la Bolsa de Bogotá, el IBOMED de la Bolsa de Medellín, y el IGBC de Bolsa de Valores deColombia. A través de un modelo STAR GARCH se identifican dos estados...
Persistent link: https://www.econbiz.de/10008509411
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Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005091204
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset … return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced …
Persistent link: https://www.econbiz.de/10005109605
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Measuring and Modelling Variation in the Risk-Return Trade-off
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …
Persistent link: https://www.econbiz.de/10005498159
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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange
Kenourgios, Dimitris; Samitas, Aristeidis; … - EconWPA - 2005
return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified …-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is …
Persistent link: https://www.econbiz.de/10005413108
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The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)
Yalcin, Yeliz; Yycel, Eray M. - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 258-277
volatility for only five countries, and they are present in both for only one country, when the estimates are evaluated at the 1 … extracted such that the higher returns are concentrated around Fridays, whereas volatility is highest on Mondays and lowest on …
Persistent link: https://www.econbiz.de/10005698624