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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731952
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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Inflation uncertainty revisited: A proposal for robust measurement
Grimme, Christian; Henzel, Steffen; Wieland, Elisabeth - 2011
Any measure of unobserved inflation uncertainty relies on specific assumptions which are most likely not fulfilled completely. This calls into question whether an individual measure delivers a reliable signal. To reduce idiosyncratic measurement error, we propose using common information...
Persistent link: https://www.econbiz.de/10010312179
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Volatilitätseffekte am US-amerikanischen Häusermarkt
Schindler, Felix - 2009
Renditeverteilung existieren und sich überwiegend auch ein Leverage-Effekt identifizieren lässt. Durch eine ARMA-GARCH …
Persistent link: https://www.econbiz.de/10010299182
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Impact of the monetary policy instruments on Islamic stock market index return
Albaity, Mohamed Shikh - 2011
variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the …
Persistent link: https://www.econbiz.de/10010305856
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Stock Index Volatility Forecasting with High Frequency Data
Hol, Eugenie; Koopman, Siem Jan - 2002
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10010324972
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Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2007
GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the … a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust …
Persistent link: https://www.econbiz.de/10010328627
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Mean-variance cointegration and the expectations hypothesis
Strohsal, Till; Weber, Enzo - 2011
The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is...
Persistent link: https://www.econbiz.de/10010281525
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Endogenous Uncertainty and Market Volatility
Kurz, Mordecai; Motolese, Maurizio - 1999
equity premium. In addition, the model predicts: (v) the GARCH property of risky asset returns; (vi) the Forward Discount …
Persistent link: https://www.econbiz.de/10011608491