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Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM … general, the Lognormal MSM models generate ?apparent? long memory in good agreement with empirical scaling provided one uses …
Persistent link: https://www.econbiz.de/10010295131
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Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
Liu, Ruipeng; Matteo, Tiziana Di; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM … general, the Lognormal MSM models generate ‘apparent’ long memory in good agreement with empirical scaling provided one uses …
Persistent link: https://www.econbiz.de/10005076121
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Multifractality and long-range dependence of asset returns : the scaling behaviour of the Markov-switching multifractal model with lognormal volatility components
Liu, Ruipeng (contributor); Di Matteo, Tiziana (contributor) - 2008
bonds) and analyze their multi-scaling properties by estimating the parameters of a Markov-switching multifractal model (MSM … general, the Lognormal MSM models generate 'apparent' long memory in good agreement with empirical scaling provided one uses … distribution is very limited. -- Markov-switching multifractal ; scaling ; return volatility …
Persistent link: https://www.econbiz.de/10003715073
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10010263750
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility
Christodoulakis, George; Satchell, Stephen E. - 2022
Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we...
Persistent link: https://www.econbiz.de/10014080672
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022
This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...
Persistent link: https://www.econbiz.de/10013465942
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Increased information content of earnings announcements in the 21st century : an empirical investigation
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - 2018
We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...
Persistent link: https://www.econbiz.de/10011873121
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Stock Market Volatility and Equity Returns : Evidence from a Two-State Markov-Switching Model with Regressors
Xinyi, Liu - 2015
This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...
Persistent link: https://www.econbiz.de/10013034502