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Intraday Volatility : An Integer Autoregressive Model

Tapiero, Oren - 2015

Intraday and high frequency time series are mostly defined by a non-continuous prices process. This paper introduces an integer based ARMA model found to be a better predictor for absolute intraday price changes than continuous time estimators (such as GARCH or multiplicative error models)....

Persistent link: https://www.econbiz.de/10013016057

Asset pricing with disagreement and uncertainty about the length of business cycles

Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923

Persistent link: https://www.econbiz.de/10012039878

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

"Leverage Effect" in the returns of BIST-100 index. Therefore, one can say that political uncertainty is still a problem for the …

Persistent link: https://www.econbiz.de/10012131511

Firms' subjective uncertainty and forecast errors

Morikawa, Masayuki - 2019

Persistent link: https://www.econbiz.de/10012134681

Crude oil futures trading and uncertainty

Czudaj, Robert L. - 2018

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum … traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical … uncertainty shocks, we apply a time-varying Bayesian VAR approach. Our findings indicate that both measures of uncertainty affect …

Persistent link: https://www.econbiz.de/10011979326