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Long-memory in volatilities of German stock returns

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both...

Persistent link: https://www.econbiz.de/10010955393

Log-periodogram estimation of the memory parameter of a long-memory process under trend

Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001

We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered...

Persistent link: https://www.econbiz.de/10010955400

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - Center for European, Governance and Economic … - 2008

The aim of this paper is to detect periods in which two currencies can be classified as being thesame asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...

Persistent link: https://www.econbiz.de/10010980798

Forecasting return volatility: Level shifts with varying jump probability and mean reversion

Xu, Jiawen; Perron, Pierre - In: International Journal of Forecasting 30 (2014) 3, pp. 449-463

. This allows the possibility of forecasting the sign and magnitude of the jumps. We estimate the model using twelve … different series, and compare its forecasting performance with those of a variety of competing models at various horizons. A …- to long-horizon forecasts. This is strong evidence that our modified RLS model offers important gains in forecasting …

Persistent link: https://www.econbiz.de/10010786454

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - 2015

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional...

Persistent link: https://www.econbiz.de/10011460615

Minimum distance estimation of ARFIMA processes

Zevallos, Mauricio; Palma, Wilfredo - In: Computational Statistics & Data Analysis 58 (2013) C, pp. 242-256

This paper proposes a new minimum distance methodology for the estimation of ARFIMA processes with Gaussian and non-Gaussian errors. The main advantage of this method is that it allows for a computationally efficient estimation when the long-memory parameter is in the interval d∈(−12,12)....

Persistent link: https://www.econbiz.de/10011056402

Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...

Persistent link: https://www.econbiz.de/10009399368

Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market

Bhaumik, S.; Karanasos, M.; Kartsaklas, A. - 2008

This paper investigates the issue of temporal ordering of the range-based volatility and volume in the Indian stock market for the period 1995-2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between...

Persistent link: https://www.econbiz.de/10009477190

Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables

Koulikov, Dmitri - 2002

In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...

Persistent link: https://www.econbiz.de/10009477515

Some evidence of purchasing power parity

Sephton, Peter S. - In: The Open Economics Journal 1 (2008), pp. 55-57

Empirical support for purchasing power parity is mixed with results dependent on the time frame and countries under examination, the methodology employed, attempts to control for aggregation bias in the data, and whether adjustments are made to account for productivity differences across...

Persistent link: https://www.econbiz.de/10010290076