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Empirical Modeling Of Latin American Stock And Forex Markets Returns And Volatility Using Markov Switching Garch Models
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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 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 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:
Author :Victor Silverio Posadas Hernandez Publisher :Springer Science & Business Media ISBN 13 :3835091034 Total Pages :205 pages Book Rating :4.8/5 (35 download)
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 Springer Science & Business Media. This book was released on 2007-11-03 with total page 205 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 A Markov-Switching Equilibrium Correction Model for Intraday Futures and Stock Index Returns by : Xavier Giroud
Download or read book A Markov-Switching Equilibrium Correction Model for Intraday Futures and Stock Index Returns written by Xavier Giroud and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A considerable literature in market microstructure has analyzed the information flows between stock index futures and spot markets. Most of those studies estimate deviations from the cost-of-carry model within the framework of vector equilibrium correction models (VECM). The typical finding is that futures prices lead spot prices and are the primary source of price discovery. Purely linear models can, however, lead to fallacious or at least incomplete inference in the presence of significant nonlinearities in the return generating process. Recent research has reported evidence for nonlinearity in the distribution of stock market returns. According to this literature, their empirical distribution can be characterized by a mixture of normal distributions whose dependence is well described by a hidden Markov chain. This thesis contributes to the former field by allowing for Markovian regime switches in the cointegrated system. The empirical analysis is carried out using high-frequency data for the German and Swiss markets, i.e. two closely interrelated markets which differ substantially in terms of liquidity. This thesis consists of three major parts. In the first part, an MS-VECM is estimated for each market and tested against the linear VECM. In both cases, the linear model is strongly rejected. The Markovian chain consists of three regimes, which can be well described in terms of volatility. Price discovery differs from regime to regime, but the overall evidence is consistent with the well-documented leading role of futures markets. The MS-VECM provides additional insights into the dynamics of price discovery. Interestingly, shocks are absorbed more rapidly in regimes of high volatility. A possible explanation is provided, based on trading activity. Intraday volatility is shown to be associated with the volume of trading. Heavy trading reveals more information per unit of time and thus improves index arbitrage and informational.
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 A New Approach to Markov-Switching GARCH Models by : Markus Haas
Download or read book A New Approach to Markov-Switching GARCH Models written by Markus Haas and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of Markov-switching models to capture the volatility dynamics of financial time series has grown considerably during past years, in part because they give rise to a plausible interpretation of nonlinearities. Nevertheless, GARCH-type models remain ubiquitous in order to allow for nonlinearities associated with time-varying volatility. Existing methods of combining the two approaches are unsatisfactory, as they either suffer from severe estimation difficulties or else their dynamic properties are not well understood. In this article we present a new Markov-switching GARCH model that overcomes both of these problems. Dynamic properties are derived and their implications for the volatility process discussed. We argue that the disaggregation of the variance process offered by the new model is more plausible than in the existing variants. The approach is illustrated with several exchange rate return series. The results suggest that a promising volatility model is an independent switching GARCH process with a possibly skewed conditional mixture density.
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 Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets by : Carlos A. Abanto-Valle
Download or read book Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets written by Carlos A. Abanto-Valle and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Risk Management with Bayesian Estimation of GARCH Models by : David Ardia
Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Book Synopsis Modelling Return and Volatility in Emerging Stock Markets by : Dimitris Kenourgios
Download or read book Modelling Return and Volatility in Emerging Stock Markets written by Dimitris Kenourgios and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies stock market time varying performance in a Markov environment between four emerging Balkan stock markets, namely, Turkey, Romania Croatia and Bulgaria, and two developed markets, the U.S. and Greece. We employ: a) an exogenous Markov regime-switching methodology where the time variation of returns is modeled to capture short term dynamics; b) a Markov switching vector autoregression methodology to model jumps in volatility regimes. Our findings provide evidence on time varying return dependence and volatility regime linkages between Balkan and developed stock markets.
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 Multivariate Regime Switching GARCH with an Application to International Stock Markets by : Markus Haas
Download or read book Multivariate Regime Switching GARCH with an Application to International Stock Markets written by Markus Haas and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Latin American Foreign Exchange Market by : Isabel Ruiz
Download or read book Essays on the Latin American Foreign Exchange Market written by Isabel Ruiz and published by . This book was released on 2006 with total page 170 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 Emerging Latin American Stock Markets - An Empirical Analysis of Market Efficiency, Diversification Benefits and Risk by : Pascal Rakers
Download or read book Emerging Latin American Stock Markets - An Empirical Analysis of Market Efficiency, Diversification Benefits and Risk written by Pascal Rakers and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides an overview for investors interested in the Latin American equity markets. In the beginning, recent trends and economic developments in the emerging markets are reviewed. After that, the diversification benefits of expanding the investment horizon by including Latin American stocks are evaluated. The Colombian and Peruvian market provided investors with high returns in the past and the Chilean stocks showed low risk. Therefore, the inclusion of these markets might prove to be beneficial. Market efficiency is inspected via variance ratio tests and technical trading strategies. Many markets are found to be inefficient. That is why investors need to check whether crucial information is currently reflected in the market price. At the same time, they can potentially generate excess returns by employing technical trading rules. Lastly, tail risk measures are depicted, risk premia are compared between the markets, and the influence of exchange rates on stock returns is explored. This allows investors to be aware of the potential consequences of extreme events, compare return rewards for risk between the markets, and the impact of exchange rates.
