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The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility
Hizmeri, Rodrigo - 2019
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...
Persistent link: https://www.econbiz.de/10012889687
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Entry, exit and trading profits : a look at the trading strategies of a proprietary trading team
Garvey, Ryan; Murphy, Anthony - In: Journal of empirical finance 12 (2005) 5, pp. 629-649
Persistent link: https://www.econbiz.de/10003190332
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The contribution of jump signs and activity to forecasting stock price volatility
Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, Anthony; … - 2019
We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use...
Persistent link: https://www.econbiz.de/10012030057
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The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun; Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, … - In: Journal of empirical finance 70 (2023), pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
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An analysis of intermarket pricing in an embryonic environment
Murphy, Austin; Sabov, Zoltan - In: Journal of international financial markets, … 5 (1995) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10001444162
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The value of convertible preferred stock in transactions with "relationship investors" like Warren Buffett
Murphy, Austin - In: International review of financial analysis 6 (1997) 3, pp. 241-254
Persistent link: https://www.econbiz.de/10001248792
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An examination of the relationship between professional investment recommendations and stock prices in a developing Eastern European stock market
Murphy, Austin - In: Journal of East-West business 2 (1996) 1, pp. 197-208
Persistent link: https://www.econbiz.de/10001207797
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Empirical analysis of pricing efficiency in the Hungarian capital markets
Murphy, Austin - In: Applied financial economics 2 (1992) 2, pp. 63-78
Persistent link: https://www.econbiz.de/10001136548
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The empirical relationship between stock prices and long-term earnings
Callaghan, Joe; Murphy, Austin; Parkash, Mohinder; … - In: The journal of investing 18 (2009) 3, pp. 49-52
Persistent link: https://www.econbiz.de/10003894376
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Shorting down value : the toxic effect of insufficient internal liquidity
Murphy, Austin; Callaghan, Joe; Parkash, Mohinder - In: Review of Pacific Basin financial markets and policies 13 (2010) 2, pp. 175-202
Persistent link: https://www.econbiz.de/10008857157