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Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …

Persistent link: https://www.econbiz.de/10009151972

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis - In: Multinational Finance Journal 16 (2012) 1-2, pp. 105-136

-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using …

Persistent link: https://www.econbiz.de/10010934086

A long-memory model for multiple cycles with an application to the S&P500

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024

This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...

Persistent link: https://www.econbiz.de/10014470433

The real convergence of CEE countries : a study of real GDP per capita

Zárembová, Andrea; Lyócsa, Štefan; Baumöhl, Eduard - 2012

The paper examines the unconditional sigma and time-series convergence of real GDP per capita (measured in national currencies and euros) for CEE8 countries during the 1995 : Q1 - 2011 : Q1 period by applying the unit root framework using the DF-GLS test and the Lee and Strazicich (2003; 2004) test,...

Persistent link: https://www.econbiz.de/10011638347

Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Persistent link: https://www.econbiz.de/10003747371

The Effects of Real Exchange Rate Volatility on Thailand's Exports to the United States and Japan Under the Recent Float

Jiranyakul, Komain - 2011

and Japan and thus causes the trade balances to deteriorate under the floating exchange rate regime. Monthly data from … cointegrated, and the Marshall-Lerner condition still holds in the case of United States. Real exchange rate volatility generated … by the ARCH(1) process as a measure of uncertainty has a negative effect on exports to Japan, but has no effect on …

Persistent link: https://www.econbiz.de/10014183666

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

domestic volatility after good shocks but a bad hedge after crashes …

Persistent link: https://www.econbiz.de/10003394353

Heterogeneity in the Debt-Growth Nexus : Evidence from EMU Countries

Gómez-Puig, Marta - 2017

The objective of this paper is to examine whether the threshold beyond which public debt may have a detrimental effect on economic growth changes across euro area countries during the 1961-2015 period. In contrast with previous studies, we do not use panel estimation techniques, but implement a...

Persistent link: https://www.econbiz.de/10012959846

Public Debt and Economic Growth : Further Evidence for the Euro Area

Gómez-Puig, Marta - 2017

This paper empirically investigates the short and long-run impact of public debt on economic growth. We use annual data from both central and peripheral countries of the euro area (EA) for the 1961-2013 period and estimate a production function augmented with a debt stock term by applying the...

Persistent link: https://www.econbiz.de/10012947257

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080