Empirical Modeling Of Latin American Stock And Forex Markets Returns And Volatility Using Markov Switching Garch Models
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Author |
: Miguel Ataurima Arellano |
Publisher |
: |
Total Pages |
: 56 |
Release |
: 2017 |
ISBN-10 |
: OCLC:1039680800 |
ISBN-13 |
: |
Rating |
: 4/5 (00 Downloads) |
Synopsis Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models by : Miguel Ataurima Arellano
Author |
: Miguel Ataurima Arellano |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:1006385851 |
ISBN-13 |
: |
Rating |
: 4/5 (51 Downloads) |
Synopsis Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models by : Miguel Ataurima Arellano
Author |
: Gabriel Rodriguez |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362806 |
ISBN-13 |
: |
Rating |
: 4/5 (06 Downloads) |
Synopsis Modeling Latin-American Stock and Forex Markets Volatility by : Gabriel Rodriguez
Author |
: José Carlos Gonzáles Tanaka |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362353 |
ISBN-13 |
: |
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
Author |
: Victor Silverio Posadas Hernandez |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 205 |
Release |
: 2007-11-03 |
ISBN-10 |
: 9783835091030 |
ISBN-13 |
: 3835091034 |
Rating |
: 4/5 (30 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?
Author |
: Xavier Giroud |
Publisher |
: |
Total Pages |
: |
Release |
: 2004 |
ISBN-10 |
: OCLC:611095463 |
ISBN-13 |
: |
Rating |
: 4/5 (63 Downloads) |
Synopsis A Markov-Switching Equilibrium Correction Model for Intraday Futures and Stock Index Returns by : Xavier Giroud
A considerable literature in market microstructure has analyzed the information flows between stock index futures and spot markets. Most of those studies estimate deviations from the cost-of-carry model within the framework of vector equilibrium correction models (VECM). The typical finding is that futures prices lead spot prices and are the primary source of price discovery. Purely linear models can, however, lead to fallacious or at least incomplete inference in the presence of significant nonlinearities in the return generating process. Recent research has reported evidence for nonlinearity in the distribution of stock market returns. According to this literature, their empirical distribution can be characterized by a mixture of normal distributions whose dependence is well described by a hidden Markov chain. This thesis contributes to the former field by allowing for Markovian regime switches in the cointegrated system. The empirical analysis is carried out using high-frequency data for the German and Swiss markets, i.e. two closely interrelated markets which differ substantially in terms of liquidity. This thesis consists of three major parts. In the first part, an MS-VECM is estimated for each market and tested against the linear VECM. In both cases, the linear model is strongly rejected. The Markovian chain consists of three regimes, which can be well described in terms of volatility. Price discovery differs from regime to regime, but the overall evidence is consistent with the well-documented leading role of futures markets. The MS-VECM provides additional insights into the dynamics of price discovery. Interestingly, shocks are absorbed more rapidly in regimes of high volatility. A possible explanation is provided, based on trading activity. Intraday volatility is shown to be associated with the volume of trading. Heavy trading reveals more information per unit of time and thus improves index arbitrage and informational.
Author |
: |
Publisher |
: |
Total Pages |
: |
Release |
: 2015 |
ISBN-10 |
: OCLC:927829395 |
ISBN-13 |
: |
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 |
: |
Publisher |
: |
Total Pages |
: 21 |
Release |
: 2015 |
ISBN-10 |
: OCLC:944473802 |
ISBN-13 |
: |
Rating |
: 4/5 (02 Downloads) |
Synopsis Modeling Latin-American Stock Markets Volatility by :
Author |
: Carlos A. Abanto-Valle |
Publisher |
: |
Total Pages |
: |
Release |
: 2021 |
ISBN-10 |
: OCLC:1312223419 |
ISBN-13 |
: |
Rating |
: 4/5 (19 Downloads) |
Synopsis Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets by : Carlos A. Abanto-Valle
Author |
: |
Publisher |
: |
Total Pages |
: 22 |
Release |
: 2014 |
ISBN-10 |
: OCLC:927829812 |
ISBN-13 |
: |
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 :