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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Persistent link: https://www.econbiz.de/10003747371

Modeling Stock Price Movements : Multifractality or Multifractionality?

Bianchi, Sergio - 2011

The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...

Persistent link: https://www.econbiz.de/10013122371

Modelling UK Stock Returns : A Multiple-Regime Framework

Khadaroo, Ahmad Jameel - 2012

Through the use of regime-switching models, recent empirical research has essentially demonstrated that the dynamics of stock returns depend on the state of one stock market. The present paper extends this analytical framework by allowing the dynamics of returns to depend on the joint-states of...

Persistent link: https://www.econbiz.de/10013101775

Superstatistical Fluctuations in Time Series of Leverage Returns

Katz, Yuri A. - 2013

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...

Persistent link: https://www.econbiz.de/10013072548

Volatility Shifts and Persistence in Variance : Evidence from the Sector Indices of Istanbul Stock Exchange

Cagli, Efe C. - 2012

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …

Persistent link: https://www.econbiz.de/10013112985

Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?

Hoogerheide, Lennart F. - 2017

Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole density, whereas the Bayesian approach...

Persistent link: https://www.econbiz.de/10012976219

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard - 2016

Persistent link: https://www.econbiz.de/10012991280

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Qian, Ya; Tu, Jun; Petukhina, Alla; Chen, Zilin - 2021

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics … volatility modelling is justified in our specific calibration samples (2008 and 2013, respectively). However, our results reject …

Persistent link: https://www.econbiz.de/10013251599

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011902959

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

Persistent link: https://www.econbiz.de/10011568279