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The turn-of-the-month-effect : evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) model
Giovanis, Eleftherios - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 43-61
Heteroskedasticity (ARCH) effects existence. For this reason Generalized GARCH models are estimated. Two approaches are followed. The … higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1) is estimated. The …
Persistent link: https://www.econbiz.de/10010509192
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10009767118
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Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …
Persistent link: https://www.econbiz.de/10010290338
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …
Persistent link: https://www.econbiz.de/10013499116
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Long-run and cyclical dynamics in the US stock market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...
Persistent link: https://www.econbiz.de/10010293737
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process …
Persistent link: https://www.econbiz.de/10010300507
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Market design, bidding rules, and long memory in electricity prices
Sapio, Sandro - 2005
In uniform price, sealed-bid day-ahead electricity auctions, the market price is set at the intersection between aggregate demand and supply functions built by a market operator. Each day, just one agent - the marginal generator - owns the market-clearing plant. Day-ahead auctions are moreover...
Persistent link: https://www.econbiz.de/10010328513
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Long run and cyclical dynamics in the US stock market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007
This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...
Persistent link: https://www.econbiz.de/10010264167
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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998
Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...
Persistent link: https://www.econbiz.de/10010316257
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process …
Persistent link: https://www.econbiz.de/10003977656