Narrow search
Showing 1 - 10 of 125,928
Cover Image
How do parliamentary elections affect stock market volatility? : example from the Republic of Macedonia
Trajkovska, Aleksandra - In: Journal of contemporary economic and business issues 5 (2018) 2, pp. 53-62
The main aim of this research is to examine the effect that political elections have on stock prices on the Macedonian Stock Exchange Index MBI 10. Our paper strains to imply the existence of problems due to political uncertainties of the efficient market hypothesis. The methodology used for the...
Persistent link: https://www.econbiz.de/10011936866
Cover Image
Modeling Asymmetry and Persistence Under the Impact of Sudden Changes in the Volatility of the Indian Stock Market
Kumar, Dilip - 2012
and persistence of volatility from the vantage point of modeling volatility in general and, in particular, in assessing … Cumulative Sums of Squares (ICSS) algorithm to identify the points of sudden changes in the volatility of the Indian stock market … volatility of returns come down drastically. This suggests that ignoring regime shifts in the model may results in an …
Persistent link: https://www.econbiz.de/10013111952
Cover Image
The dynamics of trading duration, volume and price volatility : a vector MEM model
Xu, Yongdeng (contributor) - 2013
volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …
Persistent link: https://www.econbiz.de/10009738886
Cover Image
The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Buncic, Daniel - 2016
We analyse the importance of jumps and the leverage effect on forecasts of realized volatility in a large cross … widely employed empirical models for realized volatility that allow for jumps and leverage. Our out-of-sample forecast … evaluation results show that the separation of realized volatility into a continuous and a discontinuous (jump) component is …
Persistent link: https://www.econbiz.de/10012983715
Cover Image
A Step Towards Demystifying High-Beta Stocks Asset Pricing Puzzles : A New Bootstrap Pricing Error Test for High-Beta Stocks Under Conditional Correlation and Heteroskedasticity
Grobys, Klaus - 2017
High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...
Persistent link: https://www.econbiz.de/10012941317
Cover Image
Modeling asset prices
Gentle, James E.; Härdle, Wolfgang - 2010
time diffusion models ; models with jumps ; stochastic volatility ; GARCH …
Persistent link: https://www.econbiz.de/10003973644
Cover Image
GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril; Horváth, Roman - 2015
We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...
Persistent link: https://www.econbiz.de/10010529886
Cover Image
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
Cover Image
Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …
Persistent link: https://www.econbiz.de/10012292347
Cover Image
A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures
Butler, Kirt C.; Gerken, William Christopher; Okada, … - 2016
Long memory is found in the conditional volatilities of financial returns measured at daily or higher frequencies, as well as in residual cross-products in bivariate series. We test for long memory in conditional correlations by extending the fractionally integrated GARCH model to include...
Persistent link: https://www.econbiz.de/10014179077