Showing 1 - 10 of 982
In this paper, we analyze new possibilities in predicting daily ranges, i.e. differences between daily high and low prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges and explore the use of these more...
Persistent link: https://www.econbiz.de/10010461231
We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low–, respectively, high–frequency features in the data. We derive the theoretical properties of the Maximum Likelihood and...
Persistent link: https://www.econbiz.de/10014096506
Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This...
Persistent link: https://www.econbiz.de/10010407671
This study evaluates the degree of convergence among the housing markets of 10 major economies across North America, Europe and Asia. Long-run results indicate that the housing markets have become increasingly interdependent over time and more so after the onset of the most recent housing...
Persistent link: https://www.econbiz.de/10011263383
This empirical research explores the interaction between the overnight currency swap rates (Turkish lira rates) and BIST overnight repo rates. In this context, the derived no arbitrage condition reveals that the differential between the two rates is determined by Libor, financial institutions’...
Persistent link: https://www.econbiz.de/10010896076
This paper investigates the existence of arbitrage between index linked bonds and conventional ones. Then in a second part we move to study empirically the long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi ). In practice we estimated different VAR-based...
Persistent link: https://www.econbiz.de/10010674779
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10014239604
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the hedged...
Persistent link: https://www.econbiz.de/10010244526
Persistent link: https://www.econbiz.de/10009724819
This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...
Persistent link: https://www.econbiz.de/10010406272