ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

This paper develops structural stability tests based on the Efficient Method of Moments for the case of a known breakpoint. Computationally attractive post-sample estimators and test-statistics for structural stability are proposed, which are modifications of the Lagrange Multiplier, Likelihood...

In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in this context are based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages,...

The study investigates the relationships between exchange rate and stock price over the period January 2007 to March 2014. Index National Stock Exchange, namely, NIFTY is used as indicator of stock price. Johansen's co-integration and Granger causality test have been applied to explore the...

The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not...

In this dissertation a simple model for limit order books is formulated. Assuming a discrete time model and an arrival process independent of each state, the limit order book is simulated with different distribution for prices, including uniform distribution and binomial distribution, and change...

Indices providing cost-efficient passive exposure to factors such as value, growth, momentum, small size or low volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal-weighted indices, are well known and widely used in practice as...

Benoît Mandelbrot, the father of Fractal Geometry, developed a multifractal model for describing price changes. Despite the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account scale-consistency, long-range dependence and heavy...