Similar Search Results

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

Persistent link: https://www.econbiz.de/10012022130

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 … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Profit persistence and stock returns

Gschwandtner, Adelina; Hauser, Michael A. - In: Applied economics 48 (2016) 37/39, pp. 3538-3549

Persistent link: https://www.econbiz.de/10011620804

Unique calendar effects in the Indian stock market : evidence and explanations

Harshita; Shveta Singh; Yadav, Surendra Singh - In: Journal of emerging market finance 18 (2019) 1, pp. 35-58

Persistent link: https://www.econbiz.de/10012013155

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Persistent link: https://www.econbiz.de/10011843540

Volatility estimation when the zero-process is nonstationary

Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10013540630

Normative analysis of the impact of Covid-19 on prominent sectors of Indian economy by using ARCH Model

Kumar, G. K. Chetan; Rangappa, K. B.; Suchitra S - In: Theoretical and applied economics : GAER review 29 (2022) 2/631, pp. 151-164

Persistent link: https://www.econbiz.de/10014325374

On the dark side of the market : identifying and analyzing hidden order placements

Hautsch, Nikolaus; Huang, Ruihong - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10009504616

A Discrete Time Series Model for High Frequency Financial Data

Mitchell, Heather Eunice - 2012

In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes...

Persistent link: https://www.econbiz.de/10013104300

1
2
3
4
5
6
7
8
9
10
Next
Last