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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have …
Persistent link: https://www.econbiz.de/10011688332
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010362978
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010384390
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010392823
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010477092
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...
Persistent link: https://www.econbiz.de/10012855793
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
Persistent link: https://www.econbiz.de/10012821063
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Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality
Vatter, Thibault - 2016
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10013007161
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Multifractional Properties of Stock Indices Decomposed by Filtering Their Pointwise Holder Regularity
Bianchi, Sergio - 2011
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder exponent. In (multi)fractal models this condition is equivalent to the subsequences themselves being stationarity. For the different subsequences, we study the scaling of the...
Persistent link: https://www.econbiz.de/10013134120
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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
Hautsch, Nikolaus - 2006
In this paper, we suggest and evaluate specification tests to test the validity of the conditional mean function implied by Autoregressive Conditional Duration (ACD) models. We propose Lagrange multiplier tests against sign bias alternatives, various types of conditional moment tests and...
Persistent link: https://www.econbiz.de/10014053884