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Multiple-period market risk prediction under long memory : when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32
Persistent link: https://www.econbiz.de/10010252220
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Multiple-period market risk prediction under long memory: when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas - In: The Journal of Risk Finance 15 (2014) 1, pp. 4-32
volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model … past volatility shocks. As the square-root-of-time rule is known to be mis-specified, the GARCH setting of Drost and Nijman …
Persistent link: https://www.econbiz.de/10014902009
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Do emerging markets become more efficient as they develop? : long memory persistence in equity indices
Hull, Matthew; McGroarty, Frank - In: Emerging markets review 18 (2014), pp. 45-61
Persistent link: https://www.econbiz.de/10010417536
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Is violation of the random walk assumption an exception or a rule in capital markets?
Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501
Persistent link: https://www.econbiz.de/10012485200
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Efficiency, multifractality, and the long-memory property of the Bitcoin market : a comparative analysis with stock, currency, and gold markets
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-min - In: Finance research letters 27 (2018), pp. 228-234
Persistent link: https://www.econbiz.de/10012006868
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Statistical features of persistence and long memory in mortality data
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 2, pp. 291-317
Persistent link: https://www.econbiz.de/10012593582
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Long memory and fractality among global equity markets : a multivariate wavelet approach
Bhandari, Avishek; Kamaiah, Bandi - In: Journal of quantitative economics 19 (2021) 1, pp. 23-37
Persistent link: https://www.econbiz.de/10012489848
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Do emerging markets become more efficient as they develop? Long memory persistence in equity indices
Hull, Matthew; McGroarty, Frank - In: Emerging Markets Review 18 (2014) C, pp. 45-61
It seems reasonable to expect financial market efficiency to be related to the economic development level. We study a 16year sample, covering 22 countries. The Hurst–Mandelbrot–Wallis rescaled range is our efficiency measure, which we apply to returns and volatility. We find strong evidence...
Persistent link: https://www.econbiz.de/10010753589
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An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets
Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177
Persistent link: https://www.econbiz.de/10012176113
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Improvement in Hurst exponent estimation and its application to financial markets
Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the most...
Persistent link: https://www.econbiz.de/10013413110