Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Modelling Structural Breaks Long Memory And Stock Market Volatility
Download Modelling Structural Breaks Long Memory And Stock Market Volatility full books in PDF, epub, and Kindle. Read online Modelling Structural Breaks Long Memory And Stock Market Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Modelling Structural Breaks, Long Memory and Stock Market Volatility by : Anindya Banerjee
Download or read book Modelling Structural Breaks, Long Memory and Stock Market Volatility written by Anindya Banerjee and published by . This book was released on 2005 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling Long Memory and Structural Breaks in Conditional Variances by : Claudio Morana
Download or read book Modeling Long Memory and Structural Breaks in Conditional Variances written by Claudio Morana and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a smooth deterministic process, specified by Gallant (1984)'s flexible functional form. A Monte Carlo study finds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is present, and performs at least as well in the absence of structural instability. An empirical application to stock market volatility is also included to illustrate the usefulness of the technique.
Book Synopsis Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility by : Kyongwook Choi
Download or read book Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility written by Kyongwook Choi and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long-memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized volatility. We propose a VAR-RV-Break model that provides superior predictive ability when the timing of future breaks is known. With unknown break dates and sizes, we find that a VAR-RV-I(d) long memory model provides a robust forecasting method even when the true financial volatility series are generated by structural breaks.
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis Structural Breaks in Empirical Modelling of Stock Markets by : Dayong Zhang
Download or read book Structural Breaks in Empirical Modelling of Stock Markets written by Dayong Zhang and published by . This book was released on 2006 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling Long Memory in Stock Market Volatility by : Zacharias G. Psaradakis
Download or read book Modelling Long Memory in Stock Market Volatility written by Zacharias G. Psaradakis and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long Memory in Economics by : Gilles Teyssière
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Book Synopsis Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility by : Duc Khuong Nguyen
Download or read book Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility written by Duc Khuong Nguyen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. We first estimate a bivariate GARCH-M model to obtain conditional volatility series for each market. Second, we test for significant structural breaks in the conditional volatility series to determine whether the observed break dates coincide with any of the stock market reforms. Third, the effect of liberalization policy on market volatility is formally tested using a pooled time-series cross-section estimation that includes a host of explanatory variables in addition to market reform variables. Overall, the results indicate that structural breaks in the dynamic patterns of the sample emerging market volatility do not happen together with official liberalization dates, but they coincide with ADR/Country Fund dates and with dates of large increases in the US capital flows. The pooled estimation generally supports the findings from structural break analysis. Hence, it is possible to claim that liberalization methods other than liberalization via a formal policy decree are the ones that significantly affect volatility.
Book Synopsis Modelling Multivariate Volatility in the Presence of Structural Breaks with Applications to Stock Indices by : Rui Meng
Download or read book Modelling Multivariate Volatility in the Presence of Structural Breaks with Applications to Stock Indices written by Rui Meng and published by . This book was released on 2010 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dependence in Probability and Statistics by : Paul Doukhan
Download or read book Dependence in Probability and Statistics written by Paul Doukhan and published by Springer Science & Business Media. This book was released on 2010-07-23 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This account of recent works on weakly dependent, long memory and multifractal processes introduces new dependence measures for studying complex stochastic systems and includes other topics such as the dependence structure of max-stable processes.
Book Synopsis Structural Breaks in Financial Time Series by : Elena Andreou
Download or read book Structural Breaks in Financial Time Series written by Elena Andreou and published by . This book was released on 2012 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on structural breaks in financial time series. First we discuss the implications of structural breaks in financial time series for statistical inference purposes. In the second section we discuss the relevant asymptotic results and issues involved in general classifications of change-point tests in financial time series such historical versus sequential tests, parametric versus nonparametric tests and single versus multiple break tests. The third section reviews a number of structural change tests by focusing on certain characteristics or moments of financial time series such as structural break tests in the financial asset returns and volatility, long memory, tails and distribution. In addition, we review changepoint tests for the co-dependence between financial asset returns processes in the context of multivariate volatility models, copulae and last but not least asset pricing. In concluding we provide some areas of future research in the subject.
Book Synopsis Essays on Time Series Analysis by : Yanlin Shi
Download or read book Essays on Time Series Analysis written by Yanlin Shi and published by . This book was released on 2014 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a collection of essays on modelling volatility with time series techniques. The first essay addresses the question of modelling structural breaks in the Fractionally Integrated Generalised Autoregressive Conditional Heteroskedasticity (FIGARCH) model. By detecting structural change points via the Markov Regime-Switching (MRS) framework, a two-stage Three-State FIGARCH (3S-FIGARCH) model is proposed. Compared with various existing FIGARCH family models, our empirical results suggest that the 3S-FIGARCH model is preferred in all cases and can potentially provide a more reliable estimate of the long-memory parameter. The second essay examines the confusion between long memory and regime switching in volatility via a set of Monte Carlo simulations. A theoretical proof is provided to show that this confusion is caused by the effects of the smoothing probability from the data-generating process (DGP) of the MRS-GARCH model. To control for these effects, the MRS-FIGARCH model is proposed. By conducting a set of Monte Carlo simulations, we show that the MRS-FIGARCH model can effectively distinguish between the pure FIGARCH and pure MRS-GARCH DGPs. Further, an empirical application suggests that the MRS-FIGARCH can be a widely useful tool for volatility modelling. The third essay empirically studies the relation between public information arrivals and intraday stock return volatility. Motivated by the Mixture of Distribution Hypothesis (MDH) and the study of Veronesi (1999), we fit hourly Standard & Poor's (S&P) 100 stock return data with the MRS-GARCH model to investigate the effect of the quantity and quality of news on stock return volatility in the calm (low volatility) and turbulent (high volatility) states. The effect of news on the persistence and magnitude of volatility depends on the quality of news and the state of stock return volatility. In addition, this effect varies across sectors and firm sizes. The fourth essay analyses the effects of news on the so-called 'idiosyncratic volatility puzzle'. By empirically modelling the stock return data from the Center for Research in Security Prices (CRSP) database from 2000 to 2011, we demonstrate that both the quantity and quality of news can significantly explain the effect of idiosyncratic volatility on excess returns. Specifically, when news effects are appropriately controlled, the average magnitude of this effect can be reduced by roughly 50 per cent.
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
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 Volatility Clustering in Financial Markets by : Thomas Lux
Download or read book Volatility Clustering in Financial Markets written by Thomas Lux and published by . This book was released on 1998 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Present Value Model of U.S. Stock Prices Revisited : Long-run Evidence with Structural Breaks, 1871-2012 by : Vicente Esteve García
Download or read book The Present Value Model of U.S. Stock Prices Revisited : Long-run Evidence with Structural Breaks, 1871-2012 written by Vicente Esteve García and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-Memory Processes by : Jan Beran
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.