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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight … multivariate FIAPARCH framework is provided in terms of forecast error statistics and tests for equal forecast accuracy of the …
Persistent link: https://www.econbiz.de/10003747371
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Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2009
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10011518893
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Money velocity and asset prices in the euro area
Dreger, Christian; Wolters, Jürgen - 2008
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10011384244
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Money Velocity and Asset Prices in the Euro Area
Dreger, Christian - 2009
of money demand. This presumption is explored by means of a cointegration analysis. To separate income from wealth …
Persistent link: https://www.econbiz.de/10013158611
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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
from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive …
Persistent link: https://www.econbiz.de/10011862130
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship … among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with … structural break. An additional objective is to capture the time-varying correlation among these markets through the dynamic …
Persistent link: https://www.econbiz.de/10014353334
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Modeling stock market indexes with copula functions
Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 2, pp. 1-16
Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models...
Persistent link: https://www.econbiz.de/10009313688
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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The forecasting performance of German stock option densities
Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10011432259
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …
Persistent link: https://www.econbiz.de/10010362978