Narrow search
Showing 1 - 10 of 2,474
Cover Image
Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns … of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory … consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for …
Persistent link: https://www.econbiz.de/10011474619
Cover Image
Fractal structure of the stock markets of leading asian countries
Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394
In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...
Persistent link: https://www.econbiz.de/10011568388
Cover Image
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339
Cover Image
A Simple Nonlinear Predictive Model for Stock Returns
Cai, Biqing - 2017
In this paper, we propose a simple approach to testing and modelling nonlinear predictability of stock returns using Hermite Functions. The proposed test suggests that there exists a kind of nonlinear predictability for the dividend yield. Furthermore, the out-of-sample evaluation results...
Persistent link: https://www.econbiz.de/10012945869
Cover Image
Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality
Vatter, Thibault - 2016
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10013007161
Cover Image
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
Cover Image
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279
Cover Image
Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
Persistent link: https://www.econbiz.de/10012063222
Cover Image
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136
Cover Image
Local Predictability of Stock Returns and Cash Flows
Yu, Deshui; Chen, Li - 2023
Motivated by the present-value framework, this article proposes a novel and flexible semiparametric time-varying model to examine the so-called `pockets of predictability,' i.e., stock returns or cash flows are significantly predictable in a given local period. We apply a semiparametric profile...
Persistent link: https://www.econbiz.de/10014257232