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Behavioral Finance and Technical Analysis

Dehnad, Kosrow - In: Journal of Financial Transformation 32 (2011), pp. 107-111

Abstract Behavioural finance has challenged many claims of efficient market hypothesis (EMH). Unfortunately many of these challenges are in the form of anecdotal evidence and lack quantification. This article uses market data together with some simple statistics to show that in practice certain...

Persistent link: https://www.econbiz.de/10009319869

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah - 2021

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

Persistent link: https://www.econbiz.de/10013247805

A Gaussian Mixture Hidden Markov Model for the VIX

Aigner, Andreas A. - 2023

A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...

Persistent link: https://www.econbiz.de/10014356167

The Nature of Volatility Spillovers Across the International Capital Markets

Peralta, Gustavo - 2019

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012868889

The Nature of Volatility Spillovers across the International Capital Markets

Peralta, Gustavo - 2016

This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

Persistent link: https://www.econbiz.de/10012995260

Modeling volatility persistence and asymmetry with exogenous breaks in the Nigerian stock returns

Kuhe, David A. - In: CBN Journal of Applied Statistics 09 (2018) 1, pp. 167-196

This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study utilizes daily closing quotations of stock prices from the Nigerian stock exchange for the period 3rd July, 1999 to 12th June, 2017. Standard symmetric GARCH (1,1), asymmetric...

Persistent link: https://www.econbiz.de/10011961674

The Impact of Stock Index Futures on the Turkish Spot Market

Çağlayan, Ebru - In: Journal of Emerging Market Finance 10 (2011) 1, pp. 73-91

The aim of this work is to investigate the impact of the introduction of index futures on the volatility of the underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by using the Istanbul Stock Exchange 30 Index (ISE30) daily...

Persistent link: https://www.econbiz.de/10011168543

A COMPARISON OF THE FORECASTING PERFORMANCES OF MULTIVARIATE VOLATILITY MODELS

Candila, Vincenzo - Dipartimento di Scienze Economiche e Statistiche … - 2013

The consistent ranking of multivariate volatility models by means of statistical loss function is a challenging research field, because it concerns the quality of the proxy chosen to replace the unobserved volatility, the set of competing models to be ranked and the kind of loss function. The...

Persistent link: https://www.econbiz.de/10010860339

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...

Persistent link: https://www.econbiz.de/10005556399

Automated financial multi-path GETS modelling

Sucarrat, Genaro; Escribano, Alvaro - Departamento de Economía, Universidad Carlos III de Madrid - 2009

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of … that overcome many of the problems, and develop a simple but general and flexible algorithm that automates financial multi …-path GETS modelling. Starting from a general model where the mean specification can contain autoregressive (AR) terms and …

Persistent link: https://www.econbiz.de/10008543188