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Secular Mean Reversion and Long-Run Predictability of the Stock Market

Zakamulin, Valeriy - 2015

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

Persistent link: https://www.econbiz.de/10013036031

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

Persistent link: https://www.econbiz.de/10011711085

Forecasting International Index Returns Using Option-Implied Variables

Gagnon, Marie-Hélène; Power, Gabriel; Toupin, Dominique - 2018

This paper investigates international index return predictability using option-implied information. We document the significant predictive power of the variance risk premium (VRP), Foster-Hart risk (FH), and higher-order moments for horizons ranging from 1 to 250 days. Our results from...

Persistent link: https://www.econbiz.de/10014112697

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

The Sum of All Fears : Forecasting International Returns using Option-implied Risk Measures

Gagnon, Marie-Hélène - 2020

This paper investigates international index return predictability using daily-updated option-implied information in predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium (VRP), Generalized Riskiness (GR), and higher-order...

Persistent link: https://www.econbiz.de/10012853217

GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Ardia, David - 2020

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...

Persistent link: https://www.econbiz.de/10012857089

Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables

Sizova, Natalia - 2013

The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...

Persistent link: https://www.econbiz.de/10013094461

Forecast Evaluation in Large Cross-Sections of Realized Volatility

Katsouris, Christis - 2022

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using …-section when forecasting Realized Volatility. Under the null hypothesis of equal predictive accuracy the benchmark model employed …

Persistent link: https://www.econbiz.de/10013306884

Co-jumps, Co-jump Tests and Volatility Forecasting : Monte Carlo and Empirical Evidence

Peng, Weijia; Yao, Chun - 2022

predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is … volatility forecasting. Additionally, we carried out Monte Carlo experiments designed to examine the relative performances of the …

Persistent link: https://www.econbiz.de/10013403992

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

prices which are themselves forward-looking. In addition, we study the dynamic impact of news on returns and volatility … return news (as opposed to good return news) on volatility. Second, we introduce a concept of news based on the difference … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and …

Persistent link: https://www.econbiz.de/10013128856