Similar Search Results

Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables

Sizova, Natalia - 2013

The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...

Persistent link: https://www.econbiz.de/10013094461

A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark...

Ventosa, Daniel - Departament d'Economia i Història Econòmica, …

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless,...

Persistent link: https://www.econbiz.de/10005823941

Macroeconomic Instability in the European Monetary System?

Zumaquero, Amalia Morales; Rivero, Simón Sosvilla - Centro de Estudios Andaluces, Government of Andalusia - 2006

and Perron (2003). Results indicate that there is some evidence of structural breaks in volatility across investigated … variables, playing the realignments in the ERM a significant role in the reduction of volatility in some countries and sub … volatility of the member countries. …

Persistent link: https://www.econbiz.de/10005063173

Forecasting stock market volatility conditional on macroeconomic conditions.

Becker, Ralf; Clements, Adam - National Centre for Econometric Research (NCER) - 2007

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic variables can be easily incorporated into volatility forecasts for share index returns. It transpires that the model … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …

Persistent link: https://www.econbiz.de/10005416549

Varianza condicional de medias móviles no-lineales.

Ventosa-Santaulària, Daniel; Velázquez, Alfonso Mendoza; … - In: Ensayos Revista de Economia XXVII (2008) 2, pp. 29-48

We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...

Persistent link: https://www.econbiz.de/10009143765

Non Linear Moving-Average Conditional Heteroskedasticity

Ventosa-Santaulària, Daniel; Mendoza V., Alfonso - Volkswirtschaftliche Fakultät, … - 2005

conditional volatility through a non-linear moving average process. The NLMACH performance is investigated using a Monte Carlo …

Persistent link: https://www.econbiz.de/10011111670

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized …

Persistent link: https://www.econbiz.de/10011471089

Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads

Kliber, Agata; Bedowska-Sojka, Barbara - In: Dynamic Econometric Models 13 (2013), pp. 87-106

In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the...

Persistent link: https://www.econbiz.de/10011271657

Implications of microstructure theory for empirical research in stock price behavior

Hawawini, Gabriel; Cohen, Kalman; Maier, Steven; … - Volkswirtschaftliche Fakultät, … - 1980

This paper examines the implications of microstructure theory for empirical research on stock price behavior

Persistent link: https://www.econbiz.de/10009328143

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

prices which are themselves forward-looking. In addition, we study the dynamic impact of news on returns and volatility … return news (as opposed to good return news) on volatility. Second, we introduce a concept of news based on the difference … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and …

Persistent link: https://www.econbiz.de/10013128856