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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching

Lux, Thomas; Kaizoji, Taisei - 2006

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...

Persistent link: https://www.econbiz.de/10010294979

Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models

Lux, Thomas; Kaizoji, Taisei - 2004

Persistent link: https://www.econbiz.de/10010295136

Asymmetry and Spillover Effects in the North American Equity Markets

Pollard, Stephen K.; Sapra, Sunil K.; Canarella, Giorgio - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-12, pp. 1-52

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three markets using the asymmetric power model of Ding, Granger...

Persistent link: https://www.econbiz.de/10010295295

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …

Persistent link: https://www.econbiz.de/10010295729

In search of distress risk

Campbell, John Y.; Hilscher, Jens; Szilagyi, Jan - 2005

This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower...

Persistent link: https://www.econbiz.de/10010295772

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10010295909

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287

Steht der deutsche Aktienmarkt unter politischem Einfluss?

Gottschalk, Katrin; Bohl, Martin T. - 2005

, dass sich der US-amerikanische Wahlzyklus auch auf den deutschen Aktienmarkt überträgt. …

Persistent link: https://www.econbiz.de/10010296346

Explaining the Trend and the Diversity in the Evolution of the Stock Market

Bose, Niloy; Neumann, Rebecca - 2005

In an overlapping generations economy, lenders fund risky investment projects of firms by drawing up loan contracts in the presence of an informational asymmetry. An optimal contract entails the issue of only debt, only equity, or a mix of the two. The equilibrium choice of contract depends on...

Persistent link: https://www.econbiz.de/10010296396

The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study

Eberts, Elke - 2003

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating...

Persistent link: https://www.econbiz.de/10010297288