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Comparison of the Korean and US stock markets using continuous-time stochastic volatility models

Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011954453

Application of Heston's model to the Chinese stock market

Liu, Guifang; Xu, Weijun - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1749-1763

Persistent link: https://www.econbiz.de/10011824755

A new method based on range to detect mean reversion

Shaik, Muneer; Maheswaran, S. - In: IIMB management review 32 (2020) 2, pp. 208-216

Persistent link: https://www.econbiz.de/10012489711

Using a mean changing stochastic processes exit-entry model for stock market longshort prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Persistent link: https://www.econbiz.de/10012534838

Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG … indicators to help us forecast stock market volatility. Via simulation, we validated the use of four models, i.e., a univariate … us forecast stock market volatility. These are the credit spread between the U.S. Aaa corporate bond yield and the 10 …

Persistent link: https://www.econbiz.de/10012798738

A closed-form solution for the stochastic volatility model with applications on international stock markets

Shi, Yanlin - In: Journal of the Operational Research Society 74 (2023) 4, pp. 1183-1197

Persistent link: https://www.econbiz.de/10014334888

A relative efficiency measure based on stock market index data

Ivanková, Kristýna - 2012

This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the...

Persistent link: https://www.econbiz.de/10009542315

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Hautsch, Nikolaus - 2010

We introduce a blocking and regularization approach to estimate high-dimensional covariances using high frequency data. Assets are first grouped according to liquidity. Using the multivariate realized kernel estimator of Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a), the covariance...

Persistent link: https://www.econbiz.de/10013150590

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10003893144

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

Persistent link: https://www.econbiz.de/10003909174