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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns
Gungor, Sermin - 2017
We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...
Persistent link: https://www.econbiz.de/10012946689
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Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator
Bhandari, Avishek - 2018
The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …
Persistent link: https://www.econbiz.de/10012920334
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Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8
The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments...
Persistent link: https://www.econbiz.de/10014382180
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Impact of inflation and exchange rate on stock market returns in India : an ARDL approach
Tejesh H. R. - In: Theoretical and applied economics : GAER review 31 (2024) 2/639, pp. 25-36
Persistent link: https://www.econbiz.de/10015054068
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Modeling stock market return volatility : GARCH evidence from Nifty Realty Index
Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169
Persistent link: https://www.econbiz.de/10013349014
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The price linkages between the equity fund price levels and the stock markets : evidences from cointegration approach and causality analysis of Hong Kong Mandatory Provident Fund (...
Chu, Patrick Kuok-Kun - In: International review of financial analysis 19 (2010) 4, pp. 281-288
Persistent link: https://www.econbiz.de/10009272665
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The relationship between IPOs and macroeconomic factors in the Chinese stock market
Cheng, William; Kong, Mingyan; Krishnamoorthya, Anand; … - In: Journal of transnational management : the official … 28 (2023) 1/2, pp. 101-114
Persistent link: https://www.econbiz.de/10014320167
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Estimating Turkish stock market returns with APT model : cointegration and vector error correction
Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19
cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables …
Persistent link: https://www.econbiz.de/10012012458
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289