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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns … of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory … consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for …
Persistent link: https://www.econbiz.de/10011474619
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SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - 2012
This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend, stochastic trend, short-range and long-range...
Persistent link: https://www.econbiz.de/10010900249
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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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Asymmetries in Macroeconomic Time Series in Eleven Asian Economies
Kiani, Khurshid M. - In: International Journal of Business and Economics 8 (2009) 1, pp. 37-54
We investigate business cycle asymmetries in the real GDP of eleven selected Asian economies using nonlinear switching time series models and artificial neural networks. Results based on neural network linearity tests show evidence of business cycle asymmetries in all series. Results based on...
Persistent link: https://www.econbiz.de/10010837274
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Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015
the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account … Deviation Theory, suggesting possible ways in order to estimate the quantities involved. Finally in Section 6 the MMAR is …
Persistent link: https://www.econbiz.de/10011200021
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Robust time series models with trend and seasonal components
Caivano, Michele; Harvey, Andrew; Luati, Alessandra - In: SERIEs - Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...
Persistent link: https://www.econbiz.de/10011650315
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Robust time series models with trend and seasonal components
Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...
Persistent link: https://www.econbiz.de/10011458780
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
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Stable Mixture GARCH Models
BRODA, Simon A.; HAAS, Markus; KRAUSE, Jochen; …
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010680448
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Time series models with an EGB2 conditional distribution
Caivano, Michele; Harvey, Andrew - Banca d'Italia - 2014
A time series model in which the signal is buried in non-Gaussian noise may throw up observations that are outliers when judged by the Gaussian yardstick. We describe an observation-driven model, based on an exponential generalized beta distribution of the second kind (EGB2), in which the signal...
Persistent link: https://www.econbiz.de/10011099629