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Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010253467

Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

Persistent link: https://www.econbiz.de/10012520275

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

A hidden Markov Model inference approach to testing the random walk hypothesis : empirical evidence from the Nigerian stock market

Nkemnole, Edesiri - In: Journal of economic and financial sciences 9 (2016) 3, pp. 696-713

Persistent link: https://www.econbiz.de/10011658239

Measuring stock market uncertainty

Dakey, Prasad Teja - In: Theoretical and applied economics : GAER review 30 (2023) 2/635, pp. 199-162

Persistent link: https://www.econbiz.de/10014485211

Structural Breaks in Stock Returns Driven by Large Shocks

Dendramis, Yiannis - 2013

This paper employes a parametric model of structural breaks in the mean of stock returns which allows them to be endogenously driven by large positive or negative stock market return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime shifts and/or...

Persistent link: https://www.econbiz.de/10013075530

Canadian stock market volatility under COVID-19

Xu, Dinghai - In: International review of economics & finance : IREF 77 (2022), pp. 159-169

Persistent link: https://www.econbiz.de/10013330750

Do shocks to Islamic stock index prices have transitory effects

Shaik, Muneer - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 336-358

Persistent link: https://www.econbiz.de/10014311658

The great moderation in historical perspective : is it that great?

Gadea, María Dolores; Gómez-Loscos, Ana; … - 2015

Persistent link: https://www.econbiz.de/10011792146