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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …
Persistent link: https://www.econbiz.de/10011862130
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CAPM : Correlation and Regression 10 Stocks Comparing With Market Index
Hiranto, Pattaraporn - 2019
This study presents the correlation and regression between ten different selected stocks which are Berkshire Hathaway … correlation and regression methods. This process has improved the abilities and allow to discovery of the correlation between … those markets. Hence the correlation and regression method can be used to find the company's performance with the overall …
Persistent link: https://www.econbiz.de/10012894507
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HighFrequencyCovariance : A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Baumann, Stuart; Klymak, Margaryta - 2021
for volatility, correlation and covariance using high frequency financial data. It also implements complementary …
Persistent link: https://www.econbiz.de/10013237488
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German beta parameters of five Polish and...
Persistent link: https://www.econbiz.de/10013334984
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Estimation of volatility and correlation with multivariate generalized autoregressive conditional heteroskedasticity models : an application to Moroccan stock markets
Belasri, Yassine; Ellaia, Rachid - In: International journal of economics and financial issues … 7 (2017) 2, pp. 384-396
Persistent link: https://www.econbiz.de/10011789279
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Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min - In: Finance research letters 63 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
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Efficient probit estimation with partially missing covariates
Conniffe, Denis; O'Neill, Donal - 2009
A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...
Persistent link: https://www.econbiz.de/10003829113