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Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385
Persistent link: https://www.econbiz.de/10011964842
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
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Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667
Persistent link: https://www.econbiz.de/10012016532
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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Modeling jumps and volatility of the Indian stock market using high-frequency data
Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10011639870
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A hidden Markov Model inference approach to testing the random walk hypothesis : empirical evidence from the Nigerian stock market
Nkemnole, Edesiri - In: Journal of economic and financial sciences 9 (2016) 3, pp. 696-713
Persistent link: https://www.econbiz.de/10011658239
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216