Results 21 to 30 of about 25,094 (140)

Asymmetric Conditional Volatility in International Stock Markets [PDF]

, 2006
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock
Bacry, Bouchaud, Christie, Conrad, Diana A. Mendes, Eisler, Enders, Enders, Engle, Engle, Fama, Fama, Fisher, Gjerde, Glosten, Hamao, Lo, Lux, Mandelbrot, Masoliver, Muzy, Nuno B. Ferreira, Plerou, Pochart, Rapach, Ross, Rui Menezes, Scholes, Sims, Sims, Sims, Wei   +31 more
core   +4 more sources

Noncausal AR‐ARCH Model and Its Applications to Financial Time Series

International Journal of Finance &Economics, EarlyView.
ABSTRACT We extend the noncausal autoregressive models by introducing noncausality into the variance component, allowing the volatility to depend on future prices as well. We refer to this model as the noncausal AR‐ARCH model, and it enables us to account for shocks arising from market agents who possess more information and engage in forward‐looking ...
Yaosong Zhan, Shiqing Ling, Zhenya Liu, Shixuan Wang   +3 more
wiley   +1 more source

Can Central Bank Communication Guide Individuals' Expectations About the Macroeconomy? Evidence From a Randomized Information Experiment in China

International Studies of Economics, EarlyView.
ABSTRACT Communication with the market to guide public expectations has become a pivotal monetary policy instrument for central banks worldwide. Therefore, assessing the efficacy of communication in influencing personal expectations is essential for central banks.
Yuying Jin, Sunyao Xia
wiley   +1 more source

Energy Market Uncertainties and Gold Return Volatility: A GARCH–MIDAS Approach

Australian Economic Papers, EarlyView.
ABSTRACT In this study, the GARCH–MIDAS model is utilized to evaluate how predictable oil and energy market uncertainties are in relation to gold return volatility. We examine daily gold returns and monthly energy uncertainty measurements such as oil market uncertainty (OMU) and oil price uncertainty (OPU), as well as measurements of energy market ...
Afees A. Salisu, Ahamuefula E. Ogbonna, Rangan Gupta, Sisa Shiba   +3 more
wiley   +1 more source

Volatility Modelling Using Hybrid Autoregressive Conditional Heteroskedasticity (ARCH) - Support Vector Regression (SVR) [PDF]

, 2015
High fluctuations in stock returns is one problem that is considered by the investors. Therefore we need a model that is able to predict accurately the volatility of stock returns.
Hoyyi, Abdul, Tarno, T., Yasin, Hasbi
core   +3 more sources

Measuring the time‐varying market efficiency in the prewar and wartime Japanese stock market, 1924–1943

Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.
Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley   +1 more source

Idiosyncratic asset return and wage risk of US households

Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.
Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley   +1 more source

Dynamic Connectedness and Hedging Effectiveness Between Green Bonds, ESG Indices, and Traditional Assets

European Financial Management, EarlyView.
ABSTRACT This study highlights the significance of incorporating environmental, social, and governance (ESG) criteria within investment strategies to strengthen risk management in volatile markets. Employing time‐varying parameter vector autoregressions and dynamic conditional correlation generalized autoregressive conditional heteroskedasticity models,
Mohamed Arouri, Mayssa Mhadhbi, Mohamad H. Shahrour   +2 more
wiley   +1 more source

A note on the geometric ergodicity of a nonlinear AR–ARCH model [PDF]

This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p (AR(p)) with the conditional variance specified as the conventional linear autoregressive ...
Mika Meitz, Pentti Saikkonen
core  

Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [PDF]

, 2005
Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average ...
J. K. Vrijling, J. Ma, P. H. A. J. M Van Gelder, W. Wang, W. Wang   +4 more
core