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On the Empirical Importance of Periodicity In the Volatility of Financial Time Series
Mazur, Blazej - 2016
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index …
Persistent link: https://www.econbiz.de/10013007872
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Are the scaling properties of bull and bear markets identical? : evidence from oil and gold markets
Günay, Samet - In: International Journal of Financial Studies : open … 2 (2014) 4, pp. 315-334
. According to the results, bear periods have higher volatility persistency than bull periods. …
Persistent link: https://www.econbiz.de/10010470512
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619
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A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data
Vuorenmaa, Tommi A. - 2011
This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...
Persistent link: https://www.econbiz.de/10013118929
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Identifying Bull and Bear Markets in Stock Returns
Maheu, John M.; McCurdy, Thomas H. - 2020
best market gains come at the start of a bull market. Volatility increases with duration in bear markets. Allowing … volatility to vary with duration captures volatility clustering …This article uses a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both …
Persistent link: https://www.econbiz.de/10014359341
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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
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Evidences of Bull and Bear Markets in the Bovespa index : an application of Markovian regime-switching models with duration dependence
Mendes, Fernando Henrique de Paula e Silva; Moura, … - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 1, pp. 39-74
Persistent link: https://www.econbiz.de/10012129029
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Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets
Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …
Persistent link: https://www.econbiz.de/10011964941
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723