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Covariance Estimation and Dynamic Asset Allocation under Microstructure Effects via Fourier Methodology
Sanfelici, Simona - 2013
We analyze the properties of different estimators of multivariate volatilities in the presence of microstructure noise … microstructure effects; further we prove the positive semi-definiteness of the estimated covariance matrix. The in sample and … the Fourier covariance estimation methodology over other estimators in the presence of market microstructure noise from …
Persistent link: https://www.econbiz.de/10013084282
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MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Dash, Jan - 2016
Previously we introduced Singular Spectrum Analysis SSA and its multivariate extension MSSA as a powerful tool for cleaning data. Here we compare MSSA with the data filling algorithm M-REM (Multivariate Regularized Expectation Maximization). We compare theoretical methodology, numerical...
Persistent link: https://www.econbiz.de/10012986549
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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
In this study, the scaling properties of the oil and gold return volatilities have been analyzed in the context of bull and bear periods. In the determination of bull and bear turning points, we used the Modified Bry-Boschan Quarterly (MBBQ) algorithm. Results showed that the business cycle...
Persistent link: https://www.econbiz.de/10010470512
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An Assessment of Persistence in Stock Markets (in French)
Avouyi-Dovi, Sanvi - 2010
We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...
Persistent link: https://www.econbiz.de/10013134950
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Quantifying Extreme Risks in Stock Markets : A Case of Former Yugoslavian States
Zikovic, Sasa - 2013
One of the reasons why investors were not prepared for heavy losses in the stock markets that occurred after the beginning of sub-prime mortgage crisis in the U.S. lies in the curious fact that many practitioners were led to believe that there are so many independent agents participating in the...
Persistent link: https://www.econbiz.de/10013081647
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Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory
Singh, Abhay Kumar - 2013
The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...
Persistent link: https://www.econbiz.de/10013090357
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Macroeconomic News Effects on the Stock Markets in Intraday Data
Bedowska-Sojka, Barbara - 2017
The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We...
Persistent link: https://www.econbiz.de/10012942389
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Fractal Structure of the Stock Markets of Leading Asian Countries
Gunay, Samet - 2016
In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...
Persistent link: https://www.econbiz.de/10013005468
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Fractal structure of the stock markets of leading asian countries
Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394
In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...
Persistent link: https://www.econbiz.de/10011568388
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Nonlinear Dynamics within Macroeconomic Factors and Stock Market in Portugal, 1993-2003
Dionisio, Andreia Teixeira; Menezes, Rui; Mendes, Diana; … - 2009
The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual...
Persistent link: https://www.econbiz.de/10014212687