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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
Lemand, Ryan - 2022
The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the international stock markets, have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises. Portfolio...
Persistent link: https://www.econbiz.de/10014236561
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive …
Persistent link: https://www.econbiz.de/10011862130
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship … among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with … structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic …
Persistent link: https://www.econbiz.de/10014353334
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STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US
Busetti, Giorgio; Manera, Matteo - 2003
correlation-cointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR …
Persistent link: https://www.econbiz.de/10011325074
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Multivariate Fractionally Integrated APARCH Modeling of Stock MarketVolatility: A multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - Alfred-Weber-Institut für Sozial- und …; … - 2008
multivariate FIAPARCH framework is provided in terms of forecasterror statistics and tests for equal forecast accuracy of the …
Persistent link: https://www.econbiz.de/10009262200
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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange
Çağlı, Efe Çağlar; Mandacı, Pınar Evrım; … - 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 Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...
Persistent link: https://www.econbiz.de/10009501246
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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/10009313688
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; 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/10011284080
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Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...
Persistent link: https://www.econbiz.de/10011526799
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Nigeria stock market volatility in comparison with some countries : application of asymmetric GARCH models
Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160
This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...
Persistent link: https://www.econbiz.de/10011460578