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Identifying common dynamic features in stock returns
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2009
This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the … information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a …
Persistent link: https://www.econbiz.de/10011112725
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Identifying common dynamic features in stock returns
Caiado, Jorge; Crato, Nuno - Centro de Matemática Aplicada à Previsão e Decisão … - 2009
This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information … about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns …
Persistent link: https://www.econbiz.de/10004980466
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Identifying common dynamic features in stock returns
Caiado, Jorge; Crato, Nuno - In: Quantitative Finance 10 (2010) 7, pp. 797-807
This paper proposes volatility and spectral based methods for the cluster analysis of stock returns. Using the … information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared …
Persistent link: https://www.econbiz.de/10008675017
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Identifying the evolution of stock markets stochastic structure after the euro
Caiado, Jorge; Crato, Nuno - Volkswirtschaftliche Fakultät, … - 2008
-euro area stock market series from 1994 to 2006, by using cluster analysis techniques for time series. We use an interpolated-periodogram …
Persistent link: https://www.econbiz.de/10005789849
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How does liquidity react to stress periods in a limit order market?
Beltran Lopez, Helena; Durré, Alain; Giot, Pierre - 2004
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011626249
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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011535278
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …
Persistent link: https://www.econbiz.de/10009635972
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Real-financial connectedness in the Swiss economy
Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss Journal of Economics and Statistics 156 (2020) 1, pp. 1-20
We study macro-financial linkages and their importance within the Swiss economy from a network perspective. First, we investigate the real-financial connectedness in the Swiss economy, using the KOF economic barometer, obtained from real and financial variables, and, the real activity index...
Persistent link: https://www.econbiz.de/10013205785
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How does liquidity react to stress periods in a limit order market?
Beltran, Helena; Durré, Alain; Giot, Pierre - 2004
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10011506571
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How does liquidity react to stress periods in a limit order market?
Beltran, Helena; Durré, Alain; Giot, Pierre - Nationale Bank van België/Banque national de Belqique (BNB) - 2004
This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …
Persistent link: https://www.econbiz.de/10005031946