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An Application Of A Short Memory Model With Random Level Shifts To The Volatility Of Latin American Stock Market Returns
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Book Synopsis An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns by :
Download or read book An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns written by and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns by :
Download or read book An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns written by and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling Latin-American Stock and Forex Markets Volatility by : Gabriel Rodriguez
Download or read book Modeling Latin-American Stock and Forex Markets Volatility written by Gabriel Rodriguez and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns by : José Carlos Gonzáles Tanaka
Download or read book An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns written by José Carlos Gonzáles Tanaka and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling Latin-American Stock Markets Volatility by :
Download or read book Modeling Latin-American Stock Markets Volatility written by and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices by : Zhongjun Qu
Download or read book Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices written by Zhongjun Qu and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away from zero and the autocovariance function exhibits a slow rate of decay, akin to a long memory process. We analyze the properties of the autocorrelation function, the periodogram and the log periodogram estimate of the memory parameter when the level shift component is specified by a simple mixture model. Our theoretical results explain many findings reported and uncover new features. We confront our theoretical predictions using log-squared returns as a proxy for the volatility of some assets returns, including daily Samp;P 500 returns over the period 1928-2002. The autocorrelations and the path of the log periodogram estimates follow patterns that would obtain if the true underlying process was one of short-memory contaminated by level shifts instead of a fractionally integrated process. A simple testing procedure is also proposed, which reinforces this conclusion.
Book Synopsis Long Memory Stochastic Volatility Models of Latin American Stock Markets by : Alejandro Islas Camargo
Download or read book Long Memory Stochastic Volatility Models of Latin American Stock Markets written by Alejandro Islas Camargo and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution by :
Download or read book An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Distinguishing Between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America by :
Download or read book Distinguishing Between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America written by and published by . This book was released on 2014 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Distinguishing Between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America by :
Download or read book Distinguishing Between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America written by and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models by : Miguel Ataurima Arellano
Download or read book Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models written by Miguel Ataurima Arellano and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Stochastic Volatility Model with GH Skew Student's T-distribution by :
Download or read book A Stochastic Volatility Model with GH Skew Student's T-distribution written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models by : Miguel Ataurima Arellano
Download or read book Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models written by Miguel Ataurima Arellano and published by . This book was released on 2017 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Memory in Stock Market Volatility and the Volatility-in-mean Effect by : Bent J. Christensen
Download or read book Long Memory in Stock Market Volatility and the Volatility-in-mean Effect written by Bent J. Christensen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Market Anomalies by : Victor Silverio Posadas Hernandez
Download or read book Stock Market Anomalies written by Victor Silverio Posadas Hernandez and published by Deutscher Universitätsverlag. This book was released on 2006-02-24 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
Book Synopsis Dynamic Models for Volatility and Heavy Tails by : Andrew C. Harvey
Download or read book Dynamic Models for Volatility and Heavy Tails written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 2013-04-22 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.
Book Synopsis Regime Shifts and Changing Volatility in Stock Returns by : Pietro Veronesi
Download or read book Regime Shifts and Changing Volatility in Stock Returns written by Pietro Veronesi and published by . This book was released on 1999 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present an intertemporal asset pricing model of learning to explain the GARCH behavior of stock returns and the intertemporal variation of expected returns. I assume that dividends follow a diffusion process whose drift rate shifts between two unobservable states at random times. I first show that the asset price is increasing and convex in investors' posterior probability of the good state. I then characterize the changes in asset price sensitivity to news, return volatility and expected returns as function of investors' level of uncertainty over the state of the economy.
