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Relative forecasting performance of volatility models: Monte Carlo evidence

Lux, Thomas; Morales-Arias, Leonardo - 2010

components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE …

Persistent link: https://www.econbiz.de/10010265831

Time evolution of market efficiency and multifractality of the Japanese stock market

Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12

anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …

Persistent link: https://www.econbiz.de/10013201335

Multifractal analysis of market efficiency across structural breaks: Implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of Risk and Financial Management 13 (2020) 10, pp. 1-18

The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...

Persistent link: https://www.econbiz.de/10012611450

Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market

Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 2012

-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality … there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest … that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also …

Persistent link: https://www.econbiz.de/10012624236

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Sattarhoff, Cristina; Gronwald, Marc - 2018

coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the …

Persistent link: https://www.econbiz.de/10011887362

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

The market and the masses: From chaotic corners to social media (re)tail events

Hansen, Kristian Bondo - In: Finance and Society 8 (2022) 1, pp. 67-77

In this essay, I examine and discuss the relationship between the market and the masses in light of recent retail-driven surges in the stock prices of firms like GameStop and AMC. Using two historical snapshots, I draw out similarities and differences between the way the collective power and...

Persistent link: https://www.econbiz.de/10015190913

Comparative models of capitalism in the areas of financial system and corporate governance: The diversity of capitalism approach perspective

Pisany, Paweł - In: International Journal of Management and Economics 52 (2016) 1, pp. 59-76

This article presents and assesses the methodology and results of a comparative analysis conducted by Bruno Amable in financial systems and corporate governance in the context of current policy and regulatory challenges. The article, which is based on a literature review and game theory...

Persistent link: https://www.econbiz.de/10015192165

Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes...

Persistent link: https://www.econbiz.de/10015193996

Non-bank dealing and liquidity bifurcation in fixed-income markets

Brolley, Michael; Cimon, David A. - 2025

Non-bank financial institutions, such as principal-trading firms and hedge funds, increasingly compete with bank-owned dealers in fixed-income markets. Some market participants worry that if non-bank financial institutions push out established bank dealers, liquidity will become unreliable...

Persistent link: https://www.econbiz.de/10015209798