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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects
Bhardwaj, Geetesh (contributor);  … - 2005
This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...
Persistent link: https://www.econbiz.de/10003698258
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Is ESG a Systematic Risk Factor for US Equity Mutual Funds?
Jin, Ick - 2021
Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...
Persistent link: https://www.econbiz.de/10013252157
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10003634717
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia (contributor) - 2008
paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate … volatility puzzle. Second, the paper aims at shedding new light on the distinction between rules and discretion in monetary …
Persistent link: https://www.econbiz.de/10003651439
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The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...
Persistent link: https://www.econbiz.de/10010472799
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Are Volatility Over Volume Liquidity Proxies Useful for Global or US Research?
Fong, Kingsley Y. L. - 2018
We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … start from the Kyle and Obizhaeva (2016) hypothesis of transaction cost invariance to identify a new volatility over volume … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope …
Persistent link: https://www.econbiz.de/10012933698
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Relative impact of the U.S. energy market sentiments on stocks and ESG index returns : evidence from GCC countries
Verma, Rahul; Mohnot, Rajesh - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 2, pp. 290-300
Persistent link: https://www.econbiz.de/10014365734