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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - 2014
-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root …
Persistent link: https://www.econbiz.de/10010375374
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The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock …-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following …. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an …
Persistent link: https://www.econbiz.de/10012494826
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...
Persistent link: https://www.econbiz.de/10011903723
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Cycles and long-range behaviour in the European stock markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...
Persistent link: https://www.econbiz.de/10012123055
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The memory of stock return volatility : asset pricing implications
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017
This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the U.S. and that the degree of memory can be related to firm characteristics such as market capitalization, book-to-market ratio, prior performance and price...
Persistent link: https://www.econbiz.de/10011750708
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and … degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined …
Persistent link: https://www.econbiz.de/10012520863
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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis
Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10013368898
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Persistence in high frequency financial data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …
Persistent link: https://www.econbiz.de/10013419363
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 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/10010303678
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508