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Author : Ben Jacobsen
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (535 download)
Download or read book Volatility Clustering in Stock Returns at Low Frequencies written by Ben Jacobsen and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ben Jacobsen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility Clustering in Monthly Stock Returns written by Ben Jacobsen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate volatility clustering using a modeling approach based on the temporal aggregation results for generalized autoregressive conditional heteroscedasticity (GARCH) models in Drost and Nijman [Econometrica, 1993]. Our findings highlight that volatility clustering, contrary to widespread belief, is not only present in high-frequency financial data. Monthly data also exhibit significant serial dependence in the second moments. We show that the use of temporal aggregation to estimate low-frequency models reduces parameter uncertainty substantially.
Author : Thomas Lux
Publisher :
ISBN 13 : 9783931052027
Total Pages : 28 pages
Book Rating : 4.0/5 (52 download)
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:
Author : Grant Richard McQueen
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
Download or read book Whence GARCH? A Preference-Based Explanation for Conditional Volatility written by Grant Richard McQueen and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a preference-based equilibrium asset pricing model that explains low frequency conditional volatility. Similar to Barberis, Huang, and Santos (2001), agents in our model care about wealth changes, experience loss aversion, and keep a mental scorecard that affects their level of risk aversion. A new feature of our model is that when perturbed by unexpected returns, investors become temporarily more sensitive to news. Gradually, investors become accustomed to the new level of wealth, restoring prior levels of risk aversion and news sensitivity. The state-dependent sensitivity to news creates the type of volatility clustering found in low frequency stock returns. We find empirical support for our model's predictions that relate the scorecard to conditional volatility and skewness.
Author : Yi Xue
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Frequency and Volatility Clustering written by Yi Xue and published by . This book was released on 2009 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model, that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, we show that the local temporal memory of the underlying time series of returns and their volatility varies greatly with the number of traders in the market.
Author : Allan Timmermann
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (348 download)
Download or read book Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning written by Allan Timmermann and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michel Crouhy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility Clustering, Asymmetry and Hysteresis in Stock Returns written by Michel Crouhy and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Encompassing a very broad family of ARCH-GARCH models we show that heteroskedasticity, already well documented for the US market, is a worldwide phenomenon. The AT-GARCH (1,1) model, where volatility rises more in response to bad news than to good news, and where news is considered bad only below a certain level, is found to be a remarkably robust representation of worldwide stock market returns. The residual structure is then captured by extending ATGARCH (1,1) to an hysteresis model, HGARCH, where we model structured memory effects from past innovations. Obviously, this feature relates to the psychology of the markets and the way traders process information. For the French stock market we show that a shock of either sign may affect volatility differently, depending on the recent past being characterized by either all positive or all negative returns. In the same way a longer term trend of either sign may also influence the impact on volatility of current innovations. It is found that bad news is discounted very quickly in volatility, this effect is reinforced when it comes after a negative trend in the stock index. On the opposite, good news has a very small impact on volatility except when it is clustered over a few days, which in this case reduces volatility substantially.
Author : Cathy Ning
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (929 download)
Download or read book Is Volatility Clustering of Asset Returns Asymmetric? written by Cathy Ning and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kevin Daly
Publisher : Routledge
ISBN 13 : 0429852142
Total Pages : 145 pages
Book Rating : 4.4/5 (298 download)
Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.
Author : Gilles Teyssière
Publisher : Springer Science & Business Media
ISBN 13 : 3540346252
Total Pages : 394 pages
Book Rating : 4.5/5 (43 download)
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.
Author : Georg Michael Rockinger
Publisher :
ISBN 13 : 9782854185218
Total Pages : 48 pages
Book Rating : 4.1/5 (852 download)
Download or read book Volatility Clustering, Asymmetry and Hysteresis in Stock Returns written by Georg Michael Rockinger and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Résumé en anglais
Author : Thomas Lux
Publisher :
ISBN 13 : 9783931052027
Total Pages : 28 pages
Book Rating : 4.0/5 (52 download)
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:
Author : Shahid Ahmed
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Volatility Clustering in Aggregate Stock Market Returns written by Shahid Ahmed and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE Sensex. Asymmetric volatility effect has been observed in both the series using TARCH and E-GARCH model. While forecasting returns it is found that GARCH-M performs better compared to alternative econometric models, namely, RW, OLS, GARCH, GARCH-M, TARCH and E-GARCH models. It is revealed that one-step ahead forecast improves by using GARCH and its variant models, which goes against the concept of random walk hypothesis. Results of this study also indicate that certain anomalies still exist which makes the stock market inefficient. In this context, SEBI is expected to play proactive role in a manner, which makes market capable to value the intrinsic price of assets.
Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)
Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jie Zhou
Publisher : Springer Science & Business Media
ISBN 13 : 3642024661
Total Pages : 1219 pages
Book Rating : 4.6/5 (42 download)
Download or read book Complex Sciences written by Jie Zhou and published by Springer Science & Business Media. This book was released on 2009-06-26 with total page 1219 pages. Available in PDF, EPUB and Kindle. Book excerpt: I was invited to join the Organizing Committee of the First International Conference on Complex Sciences: Theory and Applications (Complex 2009) as its ninth member. At that moment, eight distinguished colleagues, General Co-chairs Eugene Stanley and Gaoxi Xiao, Technical Co-chairs János Kertész and Bing-Hong Wang, Local Co-chairs Hengshan Wang and Hong-An Che, Publicity Team Shi Xiao and Yubo Wang, had spent hundreds of hours pushing the conference half way to its birth. Ever since then, I have been amazed to see hundreds of papers flooding in, reviewed and commented on by the TPC members. Finally, more than 200 contributions were - lected for the proceedings currently in your hands. They include about 200 papers from the main conference (selected from more than 320 submissions) and about 33 papers from the five collated workshops: Complexity Theory of Art and Music (COART) Causality in Complex Systems (ComplexCCS) Complex Engineering Networks (ComplexEN) Modeling and Analysis of Human Dynamics (MANDYN) Social Physics and its Applications (SPA) Complex sciences are expanding their colonies at such a dazzling speed that it - comes literally impossible for any conference to cover all the frontiers.
Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 1444392700
Total Pages : 264 pages
Book Rating : 4.4/5 (443 download)
Download or read book A Probability Metrics Approach to Financial Risk Measures written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-03-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
Author : Pascal François
Publisher : John Wiley & Sons
ISBN 13 : 1119930197
Total Pages : 1095 pages
Book Rating : 4.1/5 (199 download)
Download or read book The Complete Guide to Portfolio Performance written by Pascal François and published by John Wiley & Sons. This book was released on 2024-04-23 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.
