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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

Persistent link: https://www.econbiz.de/10013306037

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10013314848

High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012837673

Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10013211113

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF …

Persistent link: https://www.econbiz.de/10012842676

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods

Caporale, Guglielmo Maria - 2019

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

Persistent link: https://www.econbiz.de/10012871648