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Volatility Clustering Asymmetry And Hysteresis In Stock Returns
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Book Synopsis Volatility Clustering, Asymmetry and Hysteresis in Stock Returns by : Michel Crouhy
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.
Book Synopsis Volatility Clustering, Asymmetry and Hysteresis in Stock Returns by : Georg Michael Rockinger
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
Book Synopsis Is Volatility Clustering of Asset Returns Asymmetric? by : Cathy Ning
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:
Book Synopsis What Causes Clustered and Asymmetric Volatility of Stock Returns? by : Ryuichi Yamamoto
Download or read book What Causes Clustered and Asymmetric Volatility of Stock Returns? written by Ryuichi Yamamoto and published by . This book was released on 2006 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility and Time Series Econometrics by : Mark Watson
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Book Synopsis Volatility Clustering and Mean Reversion of Stock Returns in an Asset Pricing Model with Incomplete Learning by : Allan Timmermann
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:
Book Synopsis Studies in Accounting and Finance by : Arun Kumar Basu
Download or read book Studies in Accounting and Finance written by Arun Kumar Basu and published by Pearson Education India. This book was released on 2013-08 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility Clustering in Aggregate Stock Market Returns by : Shahid Ahmed
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.
Book Synopsis Asymmetric Volatility Clustering, Risk-return Relationship and Day of the Week Effects by : Ercan Balaban
Download or read book Asymmetric Volatility Clustering, Risk-return Relationship and Day of the Week Effects written by Ercan Balaban and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies by : Michael Rockinger
Download or read book A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies written by Michael Rockinger and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nesting Regime-switching GARCH Models and Stock Market Volatility, Returns and the Business Cycle by : Gang Lin
Download or read book Nesting Regime-switching GARCH Models and Stock Market Volatility, Returns and the Business Cycle written by Gang Lin and published by . This book was released on 1998 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Methods in Finance by : G. S. Maddala
Download or read book Statistical Methods in Finance written by G. S. Maddala and published by . This book was released on 1996-12-11 with total page 760 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Book Synopsis Bibliographie der Wirtschaftswissenschaften by :
Download or read book Bibliographie der Wirtschaftswissenschaften written by and published by . This book was released on 1997 with total page 992 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bibliographie der Staats-und Wirtschaftswissenschaften by :
Download or read book Bibliographie der Staats-und Wirtschaftswissenschaften written by and published by . This book was released on 1997 with total page 972 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 International Macroeconomics in the Wake of the Global Financial Crisis by : Laurent Ferrara
Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
