Similar Search Results

Measuring persistence in stock market volatility using the FIGARCH approach

Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197

This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes.

Persistent link: https://www.econbiz.de/10011058943

Modelling widely scattered states in ‘synchronized’ traffic flow and possible relevance for stock market dynamics

Helbing, Dirk; Batic, Davide; Schönhof, Martin; … - In: Physica A: Statistical Mechanics and its Applications 303 (2002) 1, pp. 251-260

Traffic flow at low densities (free traffic) is characterized by a quasi-one-dimensional relation between traffic flow and vehicle density, while no such fundamental diagram exists for ‘synchronized’ congested traffic flow. Instead, a two-dimensional area of widely scattered flow-density...

Persistent link: https://www.econbiz.de/10011059269

Nonlinearities in the exchange rates returns and volatility

Dı́az, Andrés Fernández; Grau-Carles, Pilar; … - In: Physica A: Statistical Mechanics and its Applications 316 (2002) 1, pp. 469-482

rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied …, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not …

Persistent link: https://www.econbiz.de/10011059296

A statistical measure of financial crises magnitude

Negrea, Bogdan - In: Physica A: Statistical Mechanics and its Applications 397 (2014) C, pp. 54-75

This paper postulates the concept of financial market energy and provides a statistical measure of the financial market crisis magnitude based on an analogy between earthquakes and market crises. The financial energy released by the market is expressed in terms of trading volume and stock market...

Persistent link: https://www.econbiz.de/10011059706

Volatility of power markets

Simonsen, Ingve - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 10-20

Volatility features of the Nordic day ahead power spot market for a 12-year period up till May 2004 are studied. The … daily logarithmic volatility was measured for this period to be about 16%. This level is well above what is observed for … most other well-studied financial markets. Volatility clustering, log-normal distribution, and long-range correlations are …

Persistent link: https://www.econbiz.de/10011059805

Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 305-310

of RiskMetrics is the artifact of the choice of the risk measure. First, the outstanding performance of volatility … performance in obtaining Value-at-Risk by simply multiplying volatility with a constant factor is mainly due to the choice of the …

Persistent link: https://www.econbiz.de/10011060326

Effect of trading momentum and price resistance on stock market dynamics: a Glauber Monte Carlo simulation

Castiglione, F; Pandey, R.B; Stauffer, D - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 1, pp. 223-228

.0,b=5. The volatility auto-correlation function (c(τ)) is positive for several iterations. …

Persistent link: https://www.econbiz.de/10011060719

Testing for time-varying long-range dependence in volatility for emerging markets

Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 346 (2005) 3, pp. 577-588

This paper tests whether volatility for equity returns for emerging markets possesses long-range dependence … empirical results suggest that there exists long-range dependence in emerging equity returns' volatility and also that it is …, these results are robust to “shuffling” the data to eliminate short-term autocorrelation. Therefore, they suggest that the …

Persistent link: https://www.econbiz.de/10011060827

On generalisations of the log-Normal distribution by means of a new product definition in the Kapteyn process

Duarte Queirós, Sílvio M. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 13, pp. 3594-3606

We discuss the modification of the Kapteyn multiplicative process using the q-product of Borges [E.P. Borges, A possible deformed algebra and calculus inspired in nonextensive thermostatistics, Physica A 340 (2004) 95]. Depending on the value of the index q a generalisation of the log-Normal...

Persistent link: https://www.econbiz.de/10011060851

Is volatility lognormal? Evidence from Italian futures

Renò, Roberto; Rizza, Rosario - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 620-628

We study the unconditional volatility distribution of the Italian futures market, measuring it via Fourier analysis … volatility levels in its final part, because of the dramatic events following 11 September 2001. Our results show that the … standard assumption of lognormal unconditional volatility has to be rejected for such a turbulent sample, since it is unable to …

Persistent link: https://www.econbiz.de/10011061334