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Regular variation of popular GARCH processes allowing for distributional asymmetry
Prono, Todd - 2017 - First version: August 2017
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...
Persistent link: https://www.econbiz.de/10011803123
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The causal effects of leading macroeconomic indicators on stock return : evidence from 13 selected Asia Pacific countries
Lim, Shu-Ern; Gan, Pei-Tha; Fatimah Salwa binti Abd. Hadi; … - In: International journal of business and globalisation : IJBG 28 (2021) 1/2, pp. 77-96
Persistent link: https://www.econbiz.de/10012595007
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Random walks and market efficiency : evidence from real estate investment trusts (REIT) subsectors
Almudhaf, Fahad; Hansz, Andrew J. - In: International journal of strategic property management 22 (2018) 2, pp. 81-92
Persistent link: https://www.econbiz.de/10011996719
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A proposal to boost the profitability of carry trade
Moosa, Imad A.; Burns, Kelly - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-9
Persistent link: https://www.econbiz.de/10010241631
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Forecasting yield spreads under crisis-induced multiple breakpoints
Grazzini, Caterina Forti; Guidolin, Massimo - In: Applied economics letters 20 (2013) 16/18, pp. 1656-1664
Persistent link: https://www.econbiz.de/10010222827
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Is there long memory in Indian stock market returns? : an empirical search
Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10011289921
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Two tales of return predictability : the case of Asia-Pacific equity markets
Shynkevich, Andrei - In: Journal of forecasting 36 (2017) 3, pp. 257-272
Persistent link: https://www.econbiz.de/10011729255
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A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics
Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803
Persistent link: https://www.econbiz.de/10011848675
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Extremes for coherent risk measures
Asimit, Alexandru; Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 332-341
Persistent link: https://www.econbiz.de/10011630863
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Stock Market Prices Do Not Follow Random Walks : Evidence From a Simple Specification Test
Lo, Andrew W. - 1987
In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of...
Persistent link: https://www.econbiz.de/10012476901