Non-normal returns and volatility clustering
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
... log returns to major equity indices and the main US dollar exchange rates are not normally ...of normal mixture density functions and shows that a mixture of two normal densities, one of which has ...
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Permanent, Transitory, And Non-Fundamental Components Of Returns, Volatility, And Volume
... affect returns, volatility, and volume and how to identify the permanent and transitory fundamental and non-fundamental components of returns, volatility, and ...daily returns, ...
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The Stock Returns Volatility based on the GARCH (1,1) Model: The Superiority of the Truncated Standard Normal Distribution in Forecasting Volatility
... forecasting volatility and its usage under the truncated standard normal distribution (TSND) is more suitable than when it is under the normal and student-t ...of volatility of the daily ...
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Estimation and decomposition of downside risk for portfolios with non-normal returns.
... the non-normality of these re- turns, they constitute an excellent case for illustrating the use of modified VaR and ES in a context of portfolio ...monthly returns on 6 Credit Suisse/Tremont hedge fund ...
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Diversification returns, rebalancing returns and volatility pumping
... rebalancing returns and the other does ...in volatility (and hence volatility drag) as the unrebalanced portfolio’s composition gradually drifts away from its initial ...is non-zero, and which ...
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Diversification returns, rebalancing returns and volatility pumping
... rebalancing returns and the other does ...in volatility (and hence volatility drag) as the unrebalanced portfolio’s composition gradually drifts away from its initial ...is non-zero, and which ...
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Volatility Analysis of Precious Metals Returns and Oil Returns
... in volatility is quite high. The main problem is the non existence of common break points between the sudden changes in volatility for the different indices; this is a problem when introducing all ...
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Trading Frequency and Volatility Clustering
... Second, returns are stationary and display a negative first-order ...of returns (or the magnitude of returns) displays volatility clustering with hyperbolic decay ...the ...
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Idiosyncratic volatility, stock market volatility, and expected stock returns
... stock volatility is a strong predictor of excess stock market returns when combined with stock market ...the non-diversification hypothesis, a high level of idiosyncratic volatility is usually ...
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The returns and volatility of agribusiness stocks: how do they measure up to non-agribusiness stocks?
... 52 showed that an investment in both the AG sector and a market index could reduce downside risk exposure as compared to an investment in only a market index. A possible application of this research is the development of ...
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Stock returns and volatility: the Brazilian case
... dollar-denominated returns both periods show strong evidence supporting Duffee’s (1995) asser- ...positive returns correspond to increases in current ...
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Stock market returns and volatility in the BRVM
... conditional volatility tends to rise (fall) when the absolute value of the standardized residuals is larger ...the normal distribution and the Student's t ...
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Essays on the Predictability and Volatility of Asset Returns
... and returns and ...stock returns have a volatility that varies over different time periods, we wait for volatility to reach a certain amount and then add that observation to our ...of ...
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Cross-Section of Option Returns and Volatility
... portfolio returns are ab- normal, only that they are not related to obvious sources of ...these returns are indeed abnormal, it is useful to consider why options are mispriced, especially given the ...
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Volatility Clustering in U.S. Home Prices
... 兩 R e s u l t s Te s t i n g f o r A R C H E f f e c t s Exhibit 2 shows the results of the LM ARCH tests for the fifty states. Note, that given the presence of large shocks in financial markets, it is likely a strong ...
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News-Driven Expectations and Volatility Clustering
... a non-speculative purely news- driven market of ...The clustering of volatility is generic in this model; but, as is clear from Figure 3, the model suffers from an obvious non-stationarity of ...
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A nonlinear structural model for volatility clustering
... generating volatility clustering is the coexistence of a stable fundamental steady state and a stable (quasi)perio- dic ...of volatility clustering should in fact be expected in our con- ...
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Preholiday returns and volatility in the Thai stock market
... stock returns are abnormally high before ...abnormal returns during holiday periods a few studies have provided specific reasons for the existence of this ...in returns and volatility of the ...
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STOCK MARKET VOLATILITY AND REGIME SHIFTS IN RETURNS
... that volatility is higher whenever market returns deviate from the normal regime in either ...that returns and volatility are negatively related in linear specifications which is what ...
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MODELLING DHAKA STOCK EXCHANGE RETURNS VOLATILITY
... model volatility (conditional variance) in the daily returns of the principal stock exchange of Bangladesh namely, Dhaka Stock Exchange (DSE) over the period from 27 th November 2001 to 31 st July 2013 for ...
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