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Social interaction, volatility clustering, and momentum
He, Xue-zhong; Li, Kai; Santi, Caterina; Shi, Lei - In: Journal of economic behavior & organization : JEBO 203 (2022), pp. 125-149
Persistent link: https://www.econbiz.de/10014227916
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Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - 2015
form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that …
Persistent link: https://www.econbiz.de/10010501932
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Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent
Sato, Aki-hiro; Takayasu, Hideki - In: Empirical science of financial fluctuations : the …, (pp. 171-178). 2002
Persistent link: https://www.econbiz.de/10001679482
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Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - In: Journal of empirical finance 37 (2016), pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
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Dynamic predictor selection and order splitting in a limit order market
Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792
Persistent link: https://www.econbiz.de/10012127237
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Quantifying volatility clustering in financial time series
Tseng, Jie-jun; Li, Sai-ping - In: International review of financial analysis 23 (2012), pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock …
Persistent link: https://www.econbiz.de/10012604174
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets
Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …
Persistent link: https://www.econbiz.de/10011964941