A tradeoff between forecast accuracy and the length of an estimation period always exists in forecasting. Longer estimation periods are argued to be less efficient, however, using the forecast encompassing and accuracy test, this study discusses the importance of considering the overall...

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...

This study investigates the impact of the expected and unexpected trading behavior of foreign investors on return volatilities during structural change periods. And the jump intensity model pinpoints crucial events that have influenced the stock market. The empirical results find that there has...

This study utilizes a Smooth Transition Vector Error Correction Model (STVECM) with Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedasticity (GJR-GARCH) and spillover volatility to investigate the changes in short-run return dynamics when a deviation from the...