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This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
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Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These … markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with … which caters both the linear and nonlinear markets. This paper investigates the forecasting ability of ANN by using Fama and …
Persistent link: https://www.econbiz.de/10012175006
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583
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