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The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility

Lux, Thomas (contributor) - 2004 - [Elektronische Ressource],rev

-switching multi-fractal model in Calvet and Fisher (2001) which allows for estimation of its parameters via maximum likelihood and …

Persistent link: https://www.econbiz.de/10002468813

Prediction of financial data with Hidden Markov Mixtures of Experts

Liehr, Stefan; Pawelzik, Klaus; Kohlmorgen, Jens; Lemm, … - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 593

Persistent link: https://www.econbiz.de/10001524504

Markov Switching Artificial Neural Networks and Volatility Modeling with an Application to a Turkish Stock Index

Bildirici, Melike - 2012

The study analyzes the family of regime switching GARCH neural network models, which allow the generalization of MS type RS-GARCH models to MS-GARCH-NN models by incorparating with neural network architectures with different dynamics and forecasting capabilities both in addition to the family of...

Persistent link: https://www.econbiz.de/10013103071

Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns

Bildirici, Melike - 2013

The study proposes and a family of regime switching GARCH neural network models to model volatility. The proposed MS-ARMA-GARCH-NN models allow MS type regime switching in both the conditional mean and conditional variance for time series and further augmented with artificial neural networks to...

Persistent link: https://www.econbiz.de/10013090501

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...

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

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Conventional and unconventional monetary policy rate uncertainty and stock market volatility : a forecasting perspective

Liu, Ruipeng; Gupta, Rangan - 2021

Persistent link: https://www.econbiz.de/10012665261

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10012416151

Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model

Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931

Persistent link: https://www.econbiz.de/10011910934

A three-state Markov model for predicting movements of asset returns of a Nigerian Bank

Raheem, Maruf A.; Ezepue, Patrick Oseloka - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-23

estimate the expected duration of the asset returns in states classified as rising (positive) (....), falling (negative) state … 4 days, while that of zero regime is 12 days, within any trading month of the study period (August 2005-Jnauary 2012 … asymmetric effects in the bank’s returns. The findings further reveal a minimum trading cycle of 7 days in February and a maximum …

Persistent link: https://www.econbiz.de/10011661502