Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility [PDF]
We report on a novel forecasting method based on nonlinear Markov modelling and canonical variate analysis, and investigate the use of a prediction algorithm to forecast conditional volatility.
Alistair Mees, Berndt Pilgram
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The Role Of Gold As A Diversifier, Hedge And Safe Haven: A Study On The Impact Of Stock Market And Inflation In Malaysia [PDF]
, 2016 Walaupun kesepakatan sejagat mengatakan emas sebagai aset perlindungan yang selamat, penyelidikan akademik empirik mengenai topik ini setakat ini adalah agak jarang, terutamanya dalam konteks Malaysia.
Ghazali, Mohd Fahmi
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"Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models" [PDF]
This article introduces a new efficient simulation smoother and disturbance smoother for asymmetric stochastic volatility models where there exists a correlation between today's return and tomorrow's volatility.
Toshiaki Watanabe, Yasuhiro Omori
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Evaluating Switching GARCH Volatility Forecasts During the Recent Financial Crisis [PDF]
, 2014 Forecasting volatility is a fundamental topic in in both academic and applied financial economics. Different GARCH-specifications are by far the most popular model based approach used for this purpose.
Augustsson, Viktor
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Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis [PDF]
This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization ...
Karathanassis, George +1 more
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models [PDF]
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks ...
Amine Lahiani +2 more
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Analysing the effect of private and public information on sectoral return volatility : a case study of the Australian stock market [PDF]
, 2018 This research is motivated by the continued push in challenging the validity of the efficient market hypothesis (EMH). The current thesis contributes to the discussion by addressing the gap in the literature regarding the informational efficiency of ASX ...
Prasad, Mason
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Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. ) [PDF]
This article introduces a new efficient simulation smoother and disturbance smoother for asymmetric stochastic volatility models where there exists a correlation between today`s return and tomorrow`s volatility.
Toshiaki Watanabe, Yasuhiro Omori
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Estudio de efectos asimétricos y día de la semana en el índice de volatilidad 'VIX' [PDF]
, 2007 En este trabajo se estudian los efectos asimétricos y día de la semana en el Índice de Volatilidades VIX de la Chicago Board Option Exchange del 02/01/2003 al 30/03/2007.
Pérez, Fredy Ocaris +2 more
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Portmanteau test for a class of multivariate asymmetric power GARCH model
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We then derive a portmanteau test.
Kadmiri, Othman +2 more
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