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Saha, Kunal; Madhavan, Vinodh; Chandrashekhar, G. R. - In: Cogent economics & finance 8 (2020) 1, pp. 1-14

played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the …

Persistent link: https://www.econbiz.de/10012219328

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory

Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017

information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe …

Persistent link: https://www.econbiz.de/10011819498

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10012610989

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011526121

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

Persistent link: https://www.econbiz.de/10011483824

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10011854876

Realized stochastic volatility models with generalized Gegenbauer long memory

Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017

the information from returns and realized volatility measures simultaneously. The long memory structure of both models can …

Persistent link: https://www.econbiz.de/10011772999

Reviewing the Efficient Markets' Hypothesis : New Data, New Crises, and New Estimations

Uribe, Jorge Mario - 2012

The theoretical relationship between informational efficiency and efficiency in the assignment is reviewed in this … market efficiency in the weak form. The first one is to calculate the statistic to measure efficiency dynamically. This … strategy enriches the analysis and allows the reader to define intervals with different degrees of efficiency in the same …

Persistent link: https://www.econbiz.de/10013103281

On the Realized Performance of Market Timing Strategies

Hallerbach, Winfried G. - 2019

The Information Ratio IR is the conventional metric to gauge the ex post risk-adjusted performance of a market timing strategy. A deficiency of this metric is that it does not account for an average “long bias”, which can confound the timing ability of the evaluated strategy. In this paper,...

Persistent link: https://www.econbiz.de/10012896982

Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones

Gil, Jorge Mario Uribe; Villegas, Inés María Ulloa - In: REVISTA CUADERNOS DE ECONOMÍA (2011)

En este documento se revisa la relación teórica entre eficiencia informacional y eficiencia en la asignación. Igualmente, se proponen dos mejoras a la metodología empírica tradicional para medir la eficiencia en el sentido débil. La primera consiste en calcular el estadístico de...

Persistent link: https://www.econbiz.de/10009404534

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