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Causal relationship between foreign institutional investments and stock market return

Yadav, S.; Malik, Chirag - In: The Indian journal of economics 97 (2017) 386, pp. 527-535

Persistent link: https://www.econbiz.de/10011991054

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2007

GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the … a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust …

Persistent link: https://www.econbiz.de/10010328627

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Some relations between volatility and serial correlations in stock market returns

LeBaron, Blake Dean - In: The journal of business : B 65 (1992) 2, pp. 199-219

Persistent link: https://www.econbiz.de/10001124154

Stochastische Abhängigkeiten in Aktienmarktzeitreihen : eine gleichgewichtstheoretische Erklärung

Schwaiger, Walter S. A. - 1994

Persistent link: https://www.econbiz.de/10000886147

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10011605015

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10011605063

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

Persistent link: https://www.econbiz.de/10001736255

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

series, namely, mixed normal and Markov-switching GARCH models. In the second part of the study, we also consider …

Persistent link: https://www.econbiz.de/10002452594