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Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

Persistent link: https://www.econbiz.de/10013272684

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10013136656

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010

Persistent link: https://www.econbiz.de/10014190297

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

Persistence in the price-to-dividend ratio and its macroeconomic fundamentals : conference paper

Herwartz, Helmut; Rengel, Malte; Fang, Xu - 2013

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …

Persistent link: https://www.econbiz.de/10010340530

Long Run and the Temporal Aggregation of Risks

Ortu, Fulvio - 2010

The long-run risk model introduced by R.Bansal and A.Yaron (2004) assumes the existence of a small predictable … persistence levels of shocks to consumption growth. In this paper the original long run risk model is extended introducing a novel …. Correspondingly the relations between equity return variations, cash flow risk and persistent fluctuations in the consumption mean are …

Persistent link: https://www.econbiz.de/10013146749

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...

Persistent link: https://www.econbiz.de/10010349257

What Explains the Variance of Prices and Returns? : Time-series Vs. Cross-section

Chaves, Denis B. - 2009

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Persistent link: https://www.econbiz.de/10013154202

Forecasting Nigerian stock market returns using ARIMA and artificial neural network models

Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48

The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...

Persistent link: https://www.econbiz.de/10011488820

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