An Application Of A Short Memory Model With Random Level Shifts To The Volatility Of Latin American Stock Market Returns
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Total Pages |
: 22 |
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: 2014 |
ISBN-10 |
: OCLC:927829812 |
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Rating |
: 4/5 (12 Downloads) |
Synopsis An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns by :
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Total Pages |
: 8 |
Release |
: 2014 |
ISBN-10 |
: OCLC:935184996 |
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Rating |
: 4/5 (96 Downloads) |
Synopsis An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns by :
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: Gabriel Rodriguez |
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Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362806 |
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: |
Rating |
: 4/5 (06 Downloads) |
Synopsis Modeling Latin-American Stock and Forex Markets Volatility by : Gabriel Rodriguez
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: José Carlos Gonzáles Tanaka |
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Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362353 |
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: |
Rating |
: 4/5 (53 Downloads) |
Synopsis An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns by : José Carlos Gonzáles Tanaka
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Total Pages |
: 21 |
Release |
: 2015 |
ISBN-10 |
: OCLC:944473802 |
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: |
Rating |
: 4/5 (02 Downloads) |
Synopsis Modeling Latin-American Stock Markets Volatility by :
Author |
: Zhongjun Qu |
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Total Pages |
: 36 |
Release |
: 2008 |
ISBN-10 |
: OCLC:1290300196 |
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: |
Rating |
: 4/5 (96 Downloads) |
Synopsis Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices by : Zhongjun Qu
Recently, there has been an upsurge of interest in the possibility of confusing long memory and structural changes in level. Many studies have shown that when a stationary short memory process is contaminated by level shifts the estimate of the fractional differencing parameter is biased away from zero and the autocovariance function exhibits a slow rate of decay, akin to a long memory process. We analyze the properties of the autocorrelation function, the periodogram and the log periodogram estimate of the memory parameter when the level shift component is specified by a simple mixture model. Our theoretical results explain many findings reported and uncover new features. We confront our theoretical predictions using log-squared returns as a proxy for the volatility of some assets returns, including daily Samp;P 500 returns over the period 1928-2002. The autocorrelations and the path of the log periodogram estimates follow patterns that would obtain if the true underlying process was one of short-memory contaminated by level shifts instead of a fractionally integrated process. A simple testing procedure is also proposed, which reinforces this conclusion.
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: Alejandro Islas Camargo |
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: |
Total Pages |
: 56 |
Release |
: 2000 |
ISBN-10 |
: OCLC:50170604 |
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Rating |
: 4/5 (04 Downloads) |
Synopsis Long Memory Stochastic Volatility Models of Latin American Stock Markets by : Alejandro Islas Camargo
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Total Pages |
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Release |
: 2015 |
ISBN-10 |
: OCLC:927829395 |
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Rating |
: 4/5 (95 Downloads) |
Synopsis An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution by :
Author |
: Victor Silverio Posadas Hernandez |
Publisher |
: Deutscher Universitätsverlag |
Total Pages |
: 195 |
Release |
: 2006-02-24 |
ISBN-10 |
: 3835002732 |
ISBN-13 |
: 9783835002739 |
Rating |
: 4/5 (32 Downloads) |
Synopsis Stock Market Anomalies by : Victor Silverio Posadas Hernandez
Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
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Total Pages |
: 34 |
Release |
: 2014 |
ISBN-10 |
: OCLC:935806663 |
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Rating |
: 4/5 (63 Downloads) |
Synopsis Distinguishing Between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America by :