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Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

Persistent link: https://www.econbiz.de/10003727673

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

Persistent link: https://www.econbiz.de/10011476095

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

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

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

Persistent link: https://www.econbiz.de/10011775136

Fractional integration and fat tails for realized covariance kernels and returns

Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

Persistent link: https://www.econbiz.de/10011531139

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

Persistent link: https://www.econbiz.de/10012127861

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns

Bekierman, Jeremias - 2019

We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility …. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long …-run component that changes at daily frequency and a short-run component that captures the remaining intraday volatility dynamics. An …

Persistent link: https://www.econbiz.de/10012903646