Long Memory And Level Shifts In The Volatility Of Stock Market Return Indices

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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

Author : Zhongjun Qu
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)

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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.

A Stochastic Volatility Model with Random Level Shifts

Author : Zhongjun Qu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis A Stochastic Volatility Model with Random Level Shifts by : Zhongjun Qu

Download or read book A Stochastic Volatility Model with Random Level Shifts written by Zhongjun Qu and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical findings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for the appearance of long-memory and there is growing evidence suggesting that it may be an important feature of stock returns volatility. Nevertheless, it remains a conjecture that a model incorporating random level shifts in variance can explain the data well and produce reasonable forecasts. We show that a very simple stochastic volatility model incorporating both a random level shift and a short-memory component indeed provides a better in-sample fit of the data and produces forecasts that are no worse, and sometimes better, than standard stationary short and long-memory models. We use a Bayesian method for inference and develop algorithms to obtain the posterior distributions of the parameters and the smoothed estimates of the two latent components. We apply the model to daily S&P 500 and NASDAQ returns over the period 1980.1-2005.12. Although the occurrence of a level shift is rare, about once every two years, the level shift component clearly contributes most to the total variation in the volatility process. The half-life of a typical shock from the short-memory component is very short, on average between 8 and 14 days. We also show that, unlike common stationary short or long-memory models, our model is able to replicate keys features of the data. For the NASDAQ series, it forecasts better than a standard stochastic volatility model, and for the S&P 500 index, it performs equally well.

Aggregation of Short-Memory Processes, the Volatility of Stock Market Return Indices and Long Memory

Author : Michelle L. Barnes
Publisher :
ISBN 13 : 9780863966347
Total Pages : 68 pages
Book Rating : 4.9/5 (663 download)

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Book Synopsis Aggregation of Short-Memory Processes, the Volatility of Stock Market Return Indices and Long Memory by : Michelle L. Barnes

Download or read book Aggregation of Short-Memory Processes, the Volatility of Stock Market Return Indices and Long Memory written by Michelle L. Barnes and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Time Series Analysis with Long Memory in View

Author : Uwe Hassler
Publisher : John Wiley & Sons
ISBN 13 : 1119470285
Total Pages : 292 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Time Series Analysis with Long Memory in View by : Uwe Hassler

Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-09-07 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.

Issues in General Economic Research and Application: 2011 Edition

Author :
Publisher : ScholarlyEditions
ISBN 13 : 1464965048
Total Pages : 1338 pages
Book Rating : 4.4/5 (649 download)

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Book Synopsis Issues in General Economic Research and Application: 2011 Edition by :

Download or read book Issues in General Economic Research and Application: 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 1338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in General Economic Research and Application: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about General Economic Research and Application. The editors have built Issues in General Economic Research and Application: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about General Economic Research and Application in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

Author : Greg N. Gregoriou
Publisher : Springer
ISBN 13 : 0230295215
Total Pages : 214 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by : Greg N. Gregoriou

Download or read book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration written by Greg N. Gregoriou and published by Springer. This book was released on 2010-12-08 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Author : Bent Jesper Christensen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Level Shifts in Volatility and the Implied-Realized Volatility Relation by : Bent Jesper Christensen

Download or read book Level Shifts in Volatility and the Implied-Realized Volatility Relation written by Bent Jesper Christensen and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the multivariate case of the univariate level shift technique by Lu and Perron (2008). An application to the S&P500 index and a simulation experiment show that the recently documented empirical properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility, which have been interpreted as long memory (or fractional integration) in volatility and fractional co-integration between implied and realized volatility, are accounted for by occasional common level shifts.

Long Memory in Stock Market Volatility and the Volatility-in-mean Effect

Author : Bent J. Christensen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (473 download)

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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:

Stock Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Stock Market Volatility by : Greg N. Gregoriou

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Unit Roots and Structural Breaks

Author : Pierre Perron
Publisher : MDPI
ISBN 13 : 3038428116
Total Pages : 167 pages
Book Rating : 4.0/5 (384 download)

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Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron

Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

The Persistence of Volatility and Stock Market Fluctuations

Author : James M. Poterba
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Persistence of Volatility and Stock Market Fluctuations by : James M. Poterba

Download or read book The Persistence of Volatility and Stock Market Fluctuations written by James M. Poterba and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected required rates of return for relatively short intervals. These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.

A Search for Long Memory in International Stock Market Returns

Author : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis A Search for Long Memory in International Stock Market Returns by : Yin-Wong Cheung

Download or read book A Search for Long Memory in International Stock Market Returns written by Yin-Wong Cheung and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Research Methods and Applications in Empirical Macroeconomics

Author : Nigar Hashimzade
Publisher : Edward Elgar Publishing
ISBN 13 : 0857931024
Total Pages : 627 pages
Book Rating : 4.8/5 (579 download)

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Book Synopsis Handbook of Research Methods and Applications in Empirical Macroeconomics by : Nigar Hashimzade

Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.

Additions to Market Indices and the Comovement of Stock Returns Around the World

Author : Yishay Yafeh
Publisher : International Monetary Fund
ISBN 13 : 1455218952
Total Pages : 36 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis Additions to Market Indices and the Comovement of Stock Returns Around the World by : Yishay Yafeh

Download or read book Additions to Market Indices and the Comovement of Stock Returns Around the World written by Yishay Yafeh and published by International Monetary Fund. This book was released on 2011-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock turnover and analyst coverage also typically increase upon inclusion. Using various tests, we find the demand-based view of comovement (the category/habitat theories of Barberis, Shleifer and Wurgler, 2005) to provide a good explanation for many of our findings. Some results, though, suggest that information-related factors are also important in explaining the increased comovement.

Modeling and Forecasting S&P 500 Volatility

Author : Martin Martens
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Modeling and Forecasting S&P 500 Volatility by : Martin Martens

Download or read book Modeling and Forecasting S&P 500 Volatility written by Martin Martens and published by . This book was released on 2007 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model to realized volatilities of the Samp;P 500 stock index and three exchange rates produces forecasts that clearly improve upon the ones obtained from a linear ARFIMA model and from conventional time-series models based on daily returns, treating volatility as a latent variable.

Modelling and forecasting stock return volatility and the term structure of interest rates

Author : Michiel de Pooter
Publisher : Rozenberg Publishers
ISBN 13 : 9051709153
Total Pages : 286 pages
Book Rating : 4.0/5 (517 download)

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Book Synopsis Modelling and forecasting stock return volatility and the term structure of interest rates by : Michiel de Pooter

Download or read book Modelling and forecasting stock return volatility and the term structure of interest rates written by Michiel de Pooter and published by Rozenberg Publishers. This book was released on 2007 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.