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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

Persistent link: https://www.econbiz.de/10012520275

Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...

Persistent link: https://www.econbiz.de/10013471159

Pair trading based on quantile forecasting of smooth transition GARCH models

Chen, Cathy W. S.; Wang, Zona; Songsak Sriboonchitta; … - In: The North American journal of economics and finance : a … 39 (2017), pp. 38-55

Persistent link: https://www.econbiz.de/10011878579

Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions

Rewat Khanthaporn; Wichitaksorn, Nuttanan - In: Applied economics 55 (2023) 51, pp. 6042-6061

Persistent link: https://www.econbiz.de/10014335891

Parametric quantile autoregressive conditional duration models with application to intraday value-at-risk forecasting

Saulo, Helton; Pal, Suvra; Souza, Rubens; Vila, Roberto; … - In: Journal of forecasting 44 (2025) 2, pp. 589-605

Persistent link: https://www.econbiz.de/10015374068

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2013

Persistent link: https://www.econbiz.de/10010231826

Application of integrated data mining techniques in stock market forecasting

Huang, Chin-yin; Lin, Philip K. P. - In: Cogent economics & finance 2 (2014) 1, pp. 2-17

techniques and supports the decision-making for stock trades. The proposed system embeds the top-down trading theory, artificial … neural network theory, technical analysis, dynamic time series theory, and Bayesian probability theory. To experimentally …

Persistent link: https://www.econbiz.de/10010482340

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553

Persistent link: https://www.econbiz.de/10010532691

Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach

Naser, Hanan; Alaali, Fatema - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1757-1777

Persistent link: https://www.econbiz.de/10011950311

Cross-sectional factor dynamics and momentum returns

Avramov, Doron; Hore, Satadru - In: Journal of financial markets 32 (2017), pp. 69-96

Persistent link: https://www.econbiz.de/10011814969