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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010330969
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
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Comfort: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - 2013
A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry),...
Persistent link: https://www.econbiz.de/10010256409
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Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium
Casas, Isabel - 2018
global financial crisis. These estimators are obtained from new parametric and semiparametric asymmetric extensions of the … comparison of the overall results reveals that the conditional variance gains predictive power during the global financial crisis …. Before the global financial crisis period, the new parametric asymmetric specification of the heterogeneous autoregressive …
Persistent link: https://www.econbiz.de/10012925879
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Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
Goldman, Elena - 2019
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an...
Persistent link: https://www.econbiz.de/10012901903
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The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Hizmeri, Rodrigo - 2019
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...
Persistent link: https://www.econbiz.de/10012889687
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Retail Investors’ Trading Activity and the Predictability of Stock Return Correlations
Ballinari, Daniele - 2021
Considerable theoretical and empirical evidence links price comovements with the behavior of retail investors. Nevertheless, when predicting stock return correlations, research has focused on the leverage effect. We propose a new model of realized covariances that allows exogenous predictors to...
Persistent link: https://www.econbiz.de/10013214872
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Local Adaptive Multiplicative Error Models for High- Frequency Forecasts
Härdle, Wolfgang K. - 2013
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10013077176
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CEO Overconfidence and Stock Price Crash Risk
Kim, Jeong-Bon - 2020
This study examines the association between chief executive officer (CEO) overconfidence and future stock price crash risk. Overconfident managers overestimate the returns to their investment projects and misperceive negative net present value (NPV) projects as value creating. They also tend to...
Persistent link: https://www.econbiz.de/10012856930
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Does the Incongruence of Market Expectations with Fundamentals explain Stock Return Patterns?
Huefner, Bernd; Rueenaufer, Marcel - 2021
This paper uses accounting-based reverse engineering of market expectations to identify potentially mispriced stocks. Building upon the “errors-in-expectations” hypothesis, we develop a theoretically funded yet practical tool for stock screening in this paper. We use the Ohlson (1995) model...
Persistent link: https://www.econbiz.de/10013248829