daily returns
Analysis on Runs of Daily Returns in Istanbul Stock Exchange
... asset returns has been studied in detail (Fama (1971), Pagan (1996)) and it is usually used to support random walk models in which the returns are considered to be independent random variables (Fama ...of ...
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Essays in Modeling of Daily Returns and Realized Volatility.
... Chapter 3 introduces a methodology for incorporating high frequency information in Multivari- ate GARCH modeling. Inspired by the Flexible GARCH method of Ledoit et al. [2003], the framework presented is potentially ...
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The Possibilities of Application of the Parametric and Nonparametric VaR Daily Returns Estimation – Regional Perspective
... The research results confirm the formulated hypothesis that the results of various VaR models application in the markets of Southeast Europe region countries are significant (CROBEX, SBITOB and BUX), i.e. that the ...
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Estimation of the Day of the Week Effect on Stock Market Volatility in the U S Manufacturing Sector using GARCH and EGARCH models
... With regard to the degree of asymmetry of the return distributions, MOLX, MNRO, PSTA, and D1 are positively skewed. The positive skewness indicates that return distributions of these three stocks and one index have a ...
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Option Pricing When Changes of the Underlying Asset Prices Are Restricted
... . (6) In the following, we follow the same risk-neutral ap- proach as outlined in the previous subsection to price options when there are restrictions on underlying asset price changes. As seen in the ...
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Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity
... modeling. Daily closing values were available from January 3, 1950 to December 31, ...closed, daily returns were obtained by logarithmic differences; that is by R t = log(I t /I t−1 ), where R t is ...
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The Turn-Of-The-Month Effect In The S&P 500 (2001-2011)
... We use the Standard & Poor’s Depository Receipts S&P 500 exchange-traded fund (ETF), which is also known as SPY after its NYSE ticker symbol, to study the TOM effect in the broad US stock market. SPY was first ...
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Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange
... day returns in ...used daily returns on the KSE Market ...among daily returns based on days of ...mean returns, the coefficients are not significantly different from ...five ...
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Was There a Contagion during the Asian Crises?
... part, daily returns are employed to esti- mate ...employing daily data is: confounding microstructure influences may be pretty large, including bid-ask bounce and non-synchronous trading (see refer- ...
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Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
... the daily exchange rate returns of …ve ...of daily realized volatility permit a comparison of the predictive power of di¤erent measures of intraday variation and intraday returns in ...
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A STATISTICAL ANALYSIS OF DAILY NIFTY RETURNS, DURING 2001-11
... of daily returns of NIFTY (from 1st April 2001 to 31st March ...of daily NIFTY returns within each financial year. We find that daily NIFTY returns exhibits time varying ...
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Opacity and event study analysis : a thesis presented in partial fulfillment of the requirements for the degree of Master of Finance at Massey University, Auckland, New Zealand
... Zealand daily returns or Davidson and Josev (2005), who document the negligible difference between OLS and Scholes and Williams’ betas in Australian ...
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Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?
... assess the economic signi…cance of augmenting the standard GARCH model with realized volatilities, trading volume or overnight returns. The trading strategies are deployed separately for 14 individual large-cap US ...
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A Simultaneous Equations Model of Returns, Volatility, And Volume With Intraday Trading Dynamics
... stock returns, volatility, and volume in a simultaneous equations model while incorporating the effects of trading dynamics on these three ...that returns, volatility, and volume are ...on returns, ...
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Stock market anomalies: the day of the week effects, evidence from Borsa Istanbul
... stock returns on the days of the week are equal or ...example daily returns on Friday, Tuesday and Monday were the highest; daily returns on Monday, Thursday and Friday were the least ...
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Some applications of mixed data sampling regression models
... firm returns to economic ...onto daily returns in such a way that we can compare their ...and daily firm ...firm returns as a flexible function, whose shape is governed by a few ...
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Effect of boundary conditions on stochastic Ising-like financial market price model
... these returns exhibits the excess kurtosis and the fatter tails than the corresponding Gaussian distributions, and the biased distributions of skewness also exist for the ...of daily price fluctuation is ...
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Modelling and forecasting the volatility of the portuguese stock index PSI 20
... stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index ...the daily stock returns, but not in the weekly stock ...weekly ...
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The Market Reaction To Stock Splits Used as Dividends
... abnormal returns around the announcement date(especially before the announcement date) as well as four to six days before the ex-right date of China stock ...abnormal returns for the announcement date shows ...
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Modelling a Latent Daily Tourism Financial Conditions Index
... estimated daily TFCI, while the interest rate differences and the returns on the stock exchange index have positive ...rate returns estimated by OLS, all other parameters estimates are statistically ...
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