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Asymmetric effects and long memory in the volatility of Dow Jones stocks
Scharth, Marcel; Medeiros, Marcelo C. - 2006
Does volatility reflect a continuous reaction to past shocks or changes in the markets induce shifts in the volatility dynamics? In this paper, we provide empirical evidence that cumulated price variations convey meaningful information about multiple regimes in the realized volatility of stocks,...
Persistent link: https://www.econbiz.de/10011807356
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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock … the artificial neural network based models outperformed the ARIMA based model in forecasting future developments of the … can be used as predictors for forecasting future values of the stock market returns given that the returns has memory of …
Persistent link: https://www.econbiz.de/10011488820
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Forecasting stock index returns using ARIMA-SVM, ARIMA-ANN and ARIMA-random forest hybrid models
Kumar, Manish; Thenmozhi, M. - In: International journal of banking, accounting and finance 5 (2013/2014) 3, pp. 284-308
Persistent link: https://www.econbiz.de/10011474500
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SENSEX price fluctuation forecasting comparison between global indices and companies making it
Sharma, Aviral; Bhatnagar, Vishal; Bansal, Abhay - In: Journal of global information management : an official … 26 (2018) 3, pp. 90-104
Persistent link: https://www.econbiz.de/10011926114
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Optimised hybrid CNN bi-LSTM model for stock price forecasting
Patnaik, Deepti; Rao, N. V. Jagannadha; Padhiari, … - In: International journal of intelligent enterprise 11 (2024) 3, pp. 248-273
Persistent link: https://www.econbiz.de/10015065340
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Reducing transaction costs using intraday forecasts of limit order book slopes
Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021
Persistent link: https://www.econbiz.de/10012615644
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Stock prices and macroeconomic performance in Pakistan : an analysis
Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128
Persistent link: https://www.econbiz.de/10011925274
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Political uncertainty and behavior of Tunisian stock market cycles : structural unobserved components time series models
Mnif, Afef Trabelsi - In: Research in international business and finance 39 (2017), pp. 206-214
Persistent link: https://www.econbiz.de/10011876467
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A state-space modeling of the information content of trading volume
Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012317879
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Oil price and stock market behaviour in GCC countries : do asymmetries and structural breaks matter?
Fasanya, Ismail Olaleke; Oyewole, Oluwatomisin J.; … - In: Energy strategy reviews 36 (2021), pp. 1-11
Although the relationship between the global oil and stock markets has been given extensive critical assessment in the literature, this study gives a re-examination of this nexus for the Gulf Cooperation Council countries with certain innovative contributions. We employ both the Symmetric ARDL...
Persistent link: https://www.econbiz.de/10012704709