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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, 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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Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets
Mollah, Sabur - 2015
This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …
Persistent link: https://www.econbiz.de/10013017294
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Calendar effects in Bitcoin returns and volatility
Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012485376
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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Are the crude oil markets really becoming more efficient over time? : some new evidence
Kristoufek, Ladislav - 2018
test for time-varying long-range dependence in prices and volatility" published in Energy Economics 29, pp. 28-36. The …
Persistent link: https://www.econbiz.de/10011809394
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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models
Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410
Persistent link: https://www.econbiz.de/10010520466
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How does electronic trading affect efficiency of stock market and conditional volatility? : evidence from Toronto Stock Exchange
Dutta, Shantanu; Essaddam, Naceur; Kumar, Vinod; Saadi, … - In: Research in international business and finance 39 (2017), pp. 867-877
Persistent link: https://www.econbiz.de/10011912398
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...
Persistent link: https://www.econbiz.de/10009750238
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Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section
Chatelais, Nicolas; Stalla-Bourdillon, Arthur; Chinn, … - National Bureau of Economic Research - 2022
After the Covid-shock in March 2020, stock prices declined abruptly, reflecting both the deterioration of investors' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas economic activity remained sluggish, equity markets...
Persistent link: https://www.econbiz.de/10013334522
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642