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A high-low model of daily stock price ranges

Cheung, Stephen Y. L. (contributor); … - 2008

volatility …

Persistent link: https://www.econbiz.de/10003749656

A high-low model of daily stock price ranges

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10010277079

Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

A high-low model of daily stock price ranges

Cheung, Stephen Y. L.; Cheung, Yin-Wong; Wan, Alan T. K. - In: Journal of forecasting 28 (2009) 2, pp. 103-119

Persistent link: https://www.econbiz.de/10003814267

A high-low model of daily stock price ranges

Cheung, Stephen Y. L.; Cheung, Yin-Wong; Wan, Alan T. K. - 2009

Persistent link: https://www.econbiz.de/10003974897

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

Persistent link: https://www.econbiz.de/10015179749

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Real-Time Density Forecasts from VARs with Stochastic Volatility

Clark, Todd E. - 2013

. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …

Persistent link: https://www.econbiz.de/10013095864

Real-financial connectedness in the Swiss economy

Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss journal of economics and statistics 156 (2020) 1/1, 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/10012257460