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An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...

Persistent link: https://www.econbiz.de/10011445726

Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012179768

Long-range behaviour and correlation in DFA and DCCA analysis of cryptocurrencies

Costa, Natália; Silva, César; Ferreira, Paulo - In: International Journal of Financial Studies 7 (2019) 3, pp. 1-12

with a sliding windows approach) and detrended cross-correlation analysis and the respective correlation coefficient. We … correlations. For higher time scales, Ripple is the only cryptocurrency with significant correlation. …

Persistent link: https://www.econbiz.de/10013200229

Efficiency of the Brazilian Bitcoin: A DFA approach

Quintino, Derick; Campoli, Jéssica Suarez; Burnquist, … - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-9

efficiency of cryptocurrency markets, considering their prices and volatility. The purpose of this paper is to contribute to this …

Persistent link: https://www.econbiz.de/10013200272

Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

Persistent link: https://www.econbiz.de/10012611110

Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

Persistent link: https://www.econbiz.de/10010369183

Leverage effect in energy futures

Kristoufek, Ladislav - 2014

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …

Persistent link: https://www.econbiz.de/10010398704

Multivariate variance ratio statistics

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014

Persistent link: https://www.econbiz.de/10011282646

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics 5 (2017) 1, pp. 1-38

For nearly every major stock market there exist equity and implied volatility indices. These play important roles … the best of our knowledge, no one has yet considered a global setup including both equity and implied volatility indices …

Persistent link: https://www.econbiz.de/10011755356

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011755370