Forecasting Volatility with Empirical Similarity and Google Trends
|
|
- Eleanor Miller
- 5 years ago
- Views:
Transcription
1 Forecasting Volatility with Empirical Similarity and Google Trends Moritz Heiden with Alain Hamid University of Augsburg ISF / 17
2 Volatility and investor attention Idea: Investors react on news or information of unknown source and focus their interest on a market prior to acting on it. Noise traders/ retail investors have limited information, they react differently from professional investors and their uncertainty induces volatility (e.g. agent-based literature, Lux and Marchesi, 1999). Traditional approaches: Volume and turnover are correlated with volatility, but have no predictive content (Brooks, 1998; Donaldson and Kamstra, 2005). 2 / 17
3 Measuring retail investors attention Following recent literature (Da et. al, 2011; Andrei and Hassler, 2013) we suggest using google search volume as a measure of retail investors attention. Google data accounted for 84.73% of all search queries worldwide in The search engine is a contemporary data source. Searching for a specific term itself is undoubtably a measure of attention. 3 / 17
4 Data Google Trends 4 / 17
5 Data Google Trends Realized Volatility Google Trends Data Jan Jan Jul Jan Jul Jan Figure: Weekly Google Search Volume and Realized Volatility of Dow Jones (Oxford Man database) 5 / 17
6 Data Google Trends Figure: Crosscorrelation lagged Google Search Volume and Realized Volatility of Dow Jones Lag 6 / 17
7 The concept of empirical similarity Predict Y t with the help of explanatory variables X t = ( Xt 1,..., Xt m ) ( and a database consisting of historical cases X 1 i,..., Xi m ), Y i for i = 1,..., t 1, based on the similarity s of historical cases and the current situation with characteristics X t. Y t = Yt s i<t = s (X i, X t ) Y i i<t s (X + ε t, (1) i, X t ) 7 / 17
8 The concept of empirical similarity In our case: Predict realized volatility v t with help of Google Search Volume g t, based on the similarity of previous volatility and investor attention: v t = ω 0 + β t (g t 1, v t 1 ; ω 1 ) v t 1 + ε t, t = 1,..., n (2) with similarity function β t : β t (g t 1, v t 1 ; ω 1 ) = exp (ω 1 (g t 1 v t 1 )) (3) 8 / 17
9 The concept of empirical similarity beta ar1 Jan Jan Jul Jan Jul Jan Figure: Similarity function vs. AR(1) parameter full sample 9 / 17
10 Forecast comparison Out-of-sample forecasting Moving window of 250 obs., first forecast for the week from , weekly re-estimation. Benchmark models: AR(1), ARFIMA, HAR and versions of the models with Google component. Methods of comparison: Mincer-Zarnowitz regressions, Model Confidence Set based on QLIKE loss functions, VaR forecasting framework. 10 / 17
11 Forecast comparison Out-of-sample losses and Mincer-Zarnowitz regressions Weekly out-of-sample average losses model MSE QLIKE MZ R 2 ES AR AR G ARFIMA ARFIMA G HAR HAR G / 17
12 Forecast comparison Model Confidence Set p-values Subsampling: Two crisis periods (100 obs.), October 2008 and June Out-of-sample forecasts MCS p-values model Full sample Crisis 1 Crisis 2 ES AR AR G ARFIMA ARFIMA G HAR HAR G / 17
13 Forecast comparison Model Confidence subsamples Realized Volatility Google Trends Data MCS ES Leading Okt Okt Apr Okt Apr Okt Apr Okt Apr Sep Figure: MCS during crisis subsamples 13 / 17
14 Forecast comparison VaR summary statistics VaR forecast comparison Idea: punish overpredictions with reverse QLIKE loss function. VaR t (0.99) summary statistics and average losses model % exc. no. exc. Exceedance loss Benchmark loss ES AR AR G ARFIMA ARFIMA G HAR HAR G / 17
15 Forecast comparison VaR MCS p-values VaR t (0.99) forecasts MCS p-values model Exceedance loss Benchmark loss ES AR AR G ARFIMA ARFIMA G HAR HAR G / 17
16 Forecast comparison VaR MCS p-values Results: Google Search Volume leads to smaller average losses and significant better forecasts based on the Empirical Similarity approach. Higher forecasting accuracy in volatile periods translates into better forecasts of the VaR and less overpredictions. Handle the data with care: Simply adding a linear term in a regression might result in a mixture of different dynamics. Standardization of the Google Data is problematic, daily data did not improve forecasts. 16 / 17
17 Forecast comparison VaR MCS p-values Literature: Brooks, Chris Predicting stock index volatility: can market volume help? Journal of Forecasting 17(1) Da, Zhi, Joseph Engelberg, Pengjie Gao In search of attention. Journal of Finance 66(5) Dimpfl, Thomas, Stephan Jank Can internet search queries help to predict stock market volatility. Working paper. Donaldson, R. Glen, Mark J. Kamstra Volatility forecasts, trading volume, and the arch versus option-implied volatility trade-off. Journal of Financial Research 28(4) Lieberman, Offer A similarity-based approach to time-varying coefficient non-stationary autoregression. Journal of Time Series Analysis 33(3) / 17
Can internet search queries help to predict stock market volatility?
Can internet search queries help to predict stock market volatility? Thomas Dimpfl and Stephan Jank Eberhard Karls Universität Tübingen BFS Society Vortragsreihe Tübingen, 4 December 2017 Thomas Dimpfl
More informationCFR Working Paper NO Can Internet search Queries help to predict stock market volatility? T. Dimpfl S.Jank
CFR Working Paper NO. 11-15 Can Internet search Queries help to predict stock market volatility? T. Dimpfl S.Jank Can internet search queries help to predict stock market volatility? Thomas Dimpfl and
More informationIntraday Volatility Forecast in Australian Equity Market
20th International Congress on Modelling and Simulation, Adelaide, Australia, 1 6 December 2013 www.mssanz.org.au/modsim2013 Intraday Volatility Forecast in Australian Equity Market Abhay K Singh, David
More informationDoes Investor Attention Foretell Stock Trading Activities? Evidence from Twitter Attention. Chen Gu and Denghui Chen
Does Investor Attention Foretell Stock Trading Activities? Evidence from Twitter Attention Chen Gu and Denghui Chen First version: December, 2017 Current version: July, 2018 Abstract This paper investigates
More informationForecasting mortgages: Internet search data as a proxy for mortgage credit demand
Forecasting mortgages: Internet search data as a proxy for mortgage credit demand Branislav Saxa Czech National Bank Research Open Day, Prague, May 2015 The views expressed are the views of the author
More informationForecasting mortgages: Internet search data as a proxy for mortgage credit demand
Forecasting mortgages: Internet search data as a proxy for mortgage credit demand Branislav Saxa Czech National Bank NBRM Conference, Skopje, April 2015 The views expressed are the views of the author
More informationForecasting stock market volatility using online search queries
ERASMUS UNIVERSITY ROTTERDAM Erasmus School of Economics Bachelor Thesis (IBEB) Forecasting stock market volatility using online search queries Mirnesa Ibišević 408590 Supervisor: Esad Smajlbegovic Second
More informationThe Interaction of Retail Investors with Financial Markets Cross-Country Evidence from Google Search Data
Stockholm School of Economics The Interaction of Retail Investors with Financial Markets Cross-Country Evidence from Google Search Data Leicht, Simon* and Pütz, Henning Abstract This paper analyzes retail
More informationChapter 6 Forecasting Volatility using Stochastic Volatility Model
Chapter 6 Forecasting Volatility using Stochastic Volatility Model Chapter 6 Forecasting Volatility using SV Model In this chapter, the empirical performance of GARCH(1,1), GARCH-KF and SV models from
More informationEquity Price Dynamics Before and After the Introduction of the Euro: A Note*
Equity Price Dynamics Before and After the Introduction of the Euro: A Note* Yin-Wong Cheung University of California, U.S.A. Frank Westermann University of Munich, Germany Daily data from the German and
More informationForecasting the LFS. Fida Hussain Nick Misoulis Nigel Stuttard
Forecasting the LFS Fida Hussain Nick Misoulis Nigel Stuttard J K Galbraith The only function of economic forecasting is to make astrology look respectable Overview Current estimates, rolling three-month
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2017, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2017, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Describe
More informationDo Institutional Traders Predict Bull and Bear Markets?
Do Institutional Traders Predict Bull and Bear Markets? Celso Brunetti Federal Reserve Board Bahattin Büyükşahin International Energy Agency Jeffrey H. Harris Syracuse University Overview Speculator (hedge
More informationConstruction of daily hedonic housing indexes for apartments in Sweden
KTH ROYAL INSTITUTE OF TECHNOLOGY Construction of daily hedonic housing indexes for apartments in Sweden Mo Zheng Division of Building and Real Estate Economics School of Architecture and the Built Environment
More informationCommodity Prices, Commodity Currencies, and Global Economic Developments
Commodity Prices, Commodity Currencies, and Global Economic Developments Jan J. J. Groen Paolo A. Pesenti Federal Reserve Bank of New York August 16-17, 2012 FGV-Vale Conference The Economics and Econometrics
More informationDEGREE OF MASTER OF SCIENCE IN FINANCIAL ECONOMICS FINANCIAL ECONOMETRICS HILARY TERM 2019 COMPUTATIONAL ASSIGNMENT 1 PRACTICAL WORK 3
DEGREE OF MASTER OF SCIENCE IN FINANCIAL ECONOMICS FINANCIAL ECONOMETRICS HILARY TERM 2019 COMPUTATIONAL ASSIGNMENT 1 PRACTICAL WORK 3 Thursday 31 January 2019. Assignment must be submitted before noon
More informationPredictive modeling of stock indices closing from web search trends. Arjun R 1, Suprabha KR 2
Predictive modeling of stock indices closing from web search trends Arjun R 1, Suprabha KR 2 1 PhD Scholar, NIT Karnataka, Mangalore- 575025 2 Assistant Professor, NIT Karnataka, Mangalore -575025 Email:
More informationOrder Making Fiscal Year 2018 Annual Adjustments to Transaction Fee Rates
This document is scheduled to be published in the Federal Register on 04/20/2018 and available online at https://federalregister.gov/d/2018-08339, and on FDsys.gov 8011-01p SECURITIES AND EXCHANGE COMMISSION
More informationCross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents : Time-Variation over the Period
Cahier de recherche/working Paper 13-13 Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents : Time-Variation over the Period 2000-2012 David Ardia Lennart F. Hoogerheide Mai/May
More informationA Closer Look at High-Frequency Data and Volatility Forecasting in a HAR Framework 1
A Closer Look at High-Frequency Data and Volatility Forecasting in a HAR Framework 1 Derek Song ECON 21FS Spring 29 1 This report was written in compliance with the Duke Community Standard 2 1. Introduction
More informationTrading Volume, Volatility and ADR Returns
Trading Volume, Volatility and ADR Returns Priti Verma, College of Business Administration, Texas A&M University, Kingsville, USA ABSTRACT Based on the mixture of distributions hypothesis (MDH), this paper
More informationUniversité de Montréal. Rapport de recherche. Empirical Analysis of Jumps Contribution to Volatility Forecasting Using High Frequency Data
Université de Montréal Rapport de recherche Empirical Analysis of Jumps Contribution to Volatility Forecasting Using High Frequency Data Rédigé par : Imhof, Adolfo Dirigé par : Kalnina, Ilze Département
More informationVolume 37, Issue 4. Investor's sentiment in predicting the Effective Federal Funds Rate
Volume 37, Issue 4 Investor's sentiment in predicting the Effective Federal Funds Rate Artem Meshcheryakov San Jose State University Stoyu I Ivanov San Jose State University Abstract In this article we
More informationForecasting Singapore economic growth with mixed-frequency data
Edith Cowan University Research Online ECU Publications 2013 2013 Forecasting Singapore economic growth with mixed-frequency data A. Tsui C.Y. Xu Zhaoyong Zhang Edith Cowan University, zhaoyong.zhang@ecu.edu.au
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2012, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (40 points) Answer briefly the following questions. 1. Consider
More informationForecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis
Forecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis Kunya Bowornchockchai International Science Index, Mathematical and Computational Sciences waset.org/publication/10003789
More informationExploring the Formation of Inflation Expectations in Jamaica: A Pragmatic Approach
Exploring the Formation of Inflation Expectations in Jamaica: A Pragmatic Approach Presented at he 46 th Annual Monetary Studies Conference By: Ralston Henry Table of Contents Motivation Stylized Facts
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2011, Mr. Ruey S. Tsay. Solutions to Final Exam.
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2011, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (32 pts) Answer briefly the following questions. 1. Suppose
More informationCAN AGENCY COSTS OF DEBT BE REDUCED WITHOUT EXPLICIT PROTECTIVE COVENANTS? THE CASE OF RESTRICTION ON THE SALE AND LEASE-BACK ARRANGEMENT
CAN AGENCY COSTS OF DEBT BE REDUCED WITHOUT EXPLICIT PROTECTIVE COVENANTS? THE CASE OF RESTRICTION ON THE SALE AND LEASE-BACK ARRANGEMENT Jung, Minje University of Central Oklahoma mjung@ucok.edu Ellis,
More informationModeling of Volatility with Non-linear Time Series Model
Modeling of Volatility with Non-linear Time Series Model a Kim Song Yon, Kim Mun Chol arxiv:1311.1154v2 [q-fin.st] 3 Jul 2014 Faculty of Mathematics, Kim Il Sung University, Pyongyang, D. P. R. Korea a
More informationA joint Initiative of Ludwig-Maximilians-Universität and Ifo Institute for Economic Research
A joint Initiative of Ludwig-Maximilians-Universität and Ifo Institute for Economic Research Working Papers EQUITY PRICE DYNAMICS BEFORE AND AFTER THE INTRODUCTION OF THE EURO: A NOTE Yin-Wong Cheung Frank
More informationThe Relationship between Online Attention and Share Prices
Association for Information Systems AIS Electronic Library (AISeL) WHICEB 2014 Proceedings Wuhan International Conference on e-business Summer 6-1-2014 The Relationship between Online Attention and Share
More informationLiquidity Risk Management for Portfolios
Liquidity Risk Management for Portfolios IPARM China Summit 2011 Shanghai, China November 30, 2011 Joseph Cherian Professor of Finance (Practice) Director, Centre for Asset Management Research & Investments
More informationForecasting Emerging Markets Equities the Role of Commodity Beta
Forecasting Emerging Markets Equities the Role of Commodity Beta Huiyu(Evelyn) Huang Grantham, Mayo, Van Otterloo& Co., LLC June 23, 215 For presentation at ISF 215. The opinions expressed here are solely
More informationFutures Markets, Oil Prices, and the Intertemporal Approach to the Current Account
Futures Markets, Oil Prices, and the Intertemporal Approach to the Current Account LAMES November 21, 2008 Intertemporal Approach to the Current Account Intertemporal Approach to the Current Account Dynamic,
More informationTesting for Weak Form Efficiency of Stock Markets
Testing for Weak Form Efficiency of Stock Markets Jonathan B. Hill 1 Kaiji Motegi 2 1 University of North Carolina at Chapel Hill 2 Kobe University The 3rd Annual International Conference on Applied Econometrics
More informationINFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE
INFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE Abstract Petr Makovský If there is any market which is said to be effective, this is the the FOREX market. Here we
More informationPerformance of Statistical Arbitrage in Future Markets
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 12-2017 Performance of Statistical Arbitrage in Future Markets Shijie Sheng Follow this and additional works
More informationARIMA ANALYSIS WITH INTERVENTIONS / OUTLIERS
TASK Run intervention analysis on the price of stock M: model a function of the price as ARIMA with outliers and interventions. SOLUTION The document below is an abridged version of the solution provided
More informationInvestor attention and Portuguese stock market volatility: We ll google it for you!
Investor attention and Portuguese stock market volatility: We ll google it for you! Ana Brochado, BRU Business Research Unit, ISCTE Business School (IBS) Instituto Universitário de Lisboa Ana.Brochado@iscte.pt
More informationThe next release is scheduled for Thursday, March 26, 2009 at 10:00 A.M. (CET) In New York Thursday, March 26, 2009 at 5:00 A.M.
FOR RELEASE: 10:00 A.M. CET, THURSDAY, FEBRUARY 26, 2009 The Conference Board Euro Area Business Cycle Indicators SM THE CONFERENCE BOARD LEADING ECONOMIC INDEX TM (LEI) FOR THE EURO AREA AND RELATED COMPOSITE
More informationIntegration of Foreign Exchange Markets: A Short Term Dynamics Analysis
Global Journal of Management and Business Studies. ISSN 2248-9878 Volume 3, Number 4 (2013), pp. 383-388 Research India Publications http://www.ripublication.com/gjmbs.htm Integration of Foreign Exchange
More informationCOINTEGRATION AND MARKET EFFICIENCY: AN APPLICATION TO THE CANADIAN TREASURY BILL MARKET. Soo-Bin Park* Carleton University, Ottawa, Canada K1S 5B6
1 COINTEGRATION AND MARKET EFFICIENCY: AN APPLICATION TO THE CANADIAN TREASURY BILL MARKET Soo-Bin Park* Carleton University, Ottawa, Canada K1S 5B6 Abstract: In this study we examine if the spot and forward
More informationStock price synchronicity and the role of analyst: Do analysts generate firm-specific vs. market-wide information?
Stock price synchronicity and the role of analyst: Do analysts generate firm-specific vs. market-wide information? Yongsik Kim * Abstract This paper provides empirical evidence that analysts generate firm-specific
More informationAnalysis on accrual-based models in detecting earnings management
Lingnan Journal of Banking, Finance and Economics Volume 2 2010/2011 Academic Year Issue Article 5 January 2010 Analysis on accrual-based models in detecting earnings management Tianran CHEN tianranchen@ln.edu.hk
More informationNegativity Bias in Attention Allocation: Retail Investors Reaction to Stock Returns
Negativity Bias in Attention Allocation: Retail Investors Reaction to Stock Returns Tomás Reyes 1 1 Pontificia Universidad Católica de Chile Research Question Do retail investors display a negativity bias
More informationHot Markets, Conditional Volatility, and Foreign Exchange
Hot Markets, Conditional Volatility, and Foreign Exchange Hamid Faruqee International Monetary Fund Lee Redding University of Glasgow University of Glasgow Department of Economics Working Paper #9903 27
More informationFigure 1: Quantifying the Benefits of Information Security Investment
determined by several b annual IDC and Gartner surveys) constitutes a good measure of overall investment in information security. In order to ensure that the revenues are only related to information security,
More informationThe Use of Financial Futures as Hedging Vehicles
Journal of Business and Economics, ISSN 2155-7950, USA May 2013, Volume 4, No. 5, pp. 413-418 Academic Star Publishing Company, 2013 http://www.academicstar.us The Use of Financial Futures as Hedging Vehicles
More informationAn Examination of Herd Behavior in The Indonesian Stock Market
An Examination of Herd Behavior in The Indonesian Stock Market Adi Vithara Purba 1 Department of Management, University Of Indonesia Kampus Baru UI Depok +6281317370007 and Ida Ayu Agung Faradynawati 2
More informationPredicting unemployment in short samples with internet job search query data
MPRA Munich Personal RePEc Archive Predicting unemployment in short samples with internet job search query data D Amuri Francesco Bank of Italy - Research Department 30. October 2009 Online at http://mpra.ub.uni-muenchen.de/18403/
More informationKensington Analytics LLC. Convertible Income Strategy
Kensington Analytics LLC Convertible Income Strategy Investment Process About Convertible Bonds Coupon income tends to instill some level of downside price resilience on convertible bond prices. This explains
More informationReal Exchange Rate Volatility and US Exports: An ARDL Bounds Testing Approach. Glauco De Vita and Andrew Abbott 1
Economic Issues, Vol. 9, Part 1, 2004 Real Exchange Rate Volatility and US Exports: An ARDL Bounds Testing Approach Glauco De Vita and Andrew Abbott 1 ABSTRACT This paper examines the impact of exchange
More informationBaidu index and predictability of Chinese stock returns
Shen et al. Financial Innovation (2017) 3:4 DOI 10.1186/s40854-017-0053-1 Financial Innovation RESEARCH Baidu index and predictability of Chinese stock returns Dehua Shen 1,2, Yongjie Zhang 1,3*, Xiong
More informationInflation uncertainty and monetary policy in the Eurozone Evidence from the ECB Survey of Professional Forecasters
Inflation uncertainty and monetary policy in the Eurozone Evidence from the ECB Survey of Professional Forecasters Alexander Glas and Matthias Hartmann April 7, 2014 Heidelberg University ECB: Eurozone
More informationBanca d Italia. Ministero dell Economia e delle Finanze. November Real time forecasts of in ation: the role of.
Banca d Italia Ministero dell Economia e delle Finanze November 2008 We present a mixed to forecast in ation in real time It can be easily estimated on a daily basis using all the information available
More informationGDP, Share Prices, and Share Returns: Australian and New Zealand Evidence
Journal of Money, Investment and Banking ISSN 1450-288X Issue 5 (2008) EuroJournals Publishing, Inc. 2008 http://www.eurojournals.com/finance.htm GDP, Share Prices, and Share Returns: Australian and New
More informationImportance of the long-term seasonal component in day-ahead electricity price forecasting: Regression vs. neural network models
Importance of the long-term seasonal component in day-ahead electricity price forecasting: Regression vs. neural network models Rafa l Weron Department of Operations Research Wroc law University of Science
More informationForecast Combination
Forecast Combination In the press, you will hear about Blue Chip Average Forecast and Consensus Forecast These are the averages of the forecasts of distinct professional forecasters. Is there merit to
More informationIdiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective
Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective Alisdair McKay Boston University June 2013 Microeconomic evidence on insurance - Consumption responds to idiosyncratic
More informationWavelet-based Prediction of Stock Market Returns during 2008 Financial Crisis
Wavelet-based Prediction of Stock Market Returns during 2008 Financial Crisis Borislava Vrigazova, Teodora Pavlova, Boryana Bogdanova Abstract: The importance of the US market as a leading market in the
More informationAn Approximate Long-Memory Range-Based Approach for Value at Risk Estimation
An Approximate Long-Memory Range-Based Approach for Value at Risk Estimation Xiaochun Meng and James W. Taylor Saïd Business School, University of Oxford International Journal of Forecasting, forthcoming.
More informationFinancial Times Series. Lecture 8
Financial Times Series Lecture 8 Nobel Prize Robert Engle got the Nobel Prize in Economics in 2003 for the ARCH model which he introduced in 1982 It turns out that in many applications there will be many
More informationCombining State-Dependent Forecasts of Equity Risk Premium
Combining State-Dependent Forecasts of Equity Risk Premium Daniel de Almeida, Ana-Maria Fuertes and Luiz Koodi Hotta Universidad Carlos III de Madrid September 15, 216 Almeida, Fuertes and Hotta (UC3M)
More informationStock Performance of Socially Responsible Companies
10.1515/nybj-2017-0001 Stock Performance of Socially Responsible Companies Tzu-Man Huang 1 California State University, Stanislaus, U.S.A. Sijing Zong 2 California State University, Stanislaus, U.S.A.
More informationYafu Zhao Department of Economics East Carolina University M.S. Research Paper. Abstract
This version: July 16, 2 A Moving Window Analysis of the Granger Causal Relationship Between Money and Stock Returns Yafu Zhao Department of Economics East Carolina University M.S. Research Paper Abstract
More informationChanges in Macroeconomic Policies and Volatility of Chinese Stock Market
JOURNAL OF SOFTWARE, VOL. 7, NO. 10, OCTOBER 2012 2229 Changes in Macroeconomic Policies and Volatility of Chinese Stock Market Qi an Chen* School of Economics and Business Administration, Chongqing University,
More informationTHE IMPACT OF BANKING RISKS ON THE CAPITAL OF COMMERCIAL BANKS IN LIBYA
THE IMPACT OF BANKING RISKS ON THE CAPITAL OF COMMERCIAL BANKS IN LIBYA Azeddin ARAB Kastamonu University, Turkey, Institute for Social Sciences, Department of Business Abstract: The objective of this
More informationForecasting jumps in conditional volatility The GARCH-IE model
Forecasting jumps in conditional volatility The GARCH-IE model Philip Hans Franses and Marco van der Leij Econometric Institute Erasmus University Rotterdam e-mail: franses@few.eur.nl 1 Outline of presentation
More informationModelling Power Futures Volatility: Comparison of ARMA and GARCH Models based on EEX Data
Modelling Power Futures Volatility: Comparison of ARMA and GARCH Models based on EEX Data IAEE European Conference 2009, Wien Session 6-VI: Price Volatility Modelling Joachim Benatzky Chair for Management
More informationOnline Appendix: Asymmetric Effects of Exogenous Tax Changes
Online Appendix: Asymmetric Effects of Exogenous Tax Changes Syed M. Hussain Samreen Malik May 9,. Online Appendix.. Anticipated versus Unanticipated Tax changes Comparing our estimates with the estimates
More informationMoney and monetary policy: The ECB experience
Money and monetary policy: The ECB experience 1999-2006 Lucrezia Reichlin (co-authors H. Pill, M. Lenza, B. Fischer) Frankfurt am Main, 9.11.2006 Key Questions 1) How was monetary analysis conducted in
More informationExploring the Predictive Power of Google Searches over the US Stock Market
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA School of Business and Economics. Exploring the Predictive Power of Google Searches over
More informationExamining Capital Market Integration in Korea and Japan Using a Threshold Cointegration Model
Examining Capital Market Integration in Korea and Japan Using a Threshold Cointegration Model STEFAN C. NORRBIN Department of Economics Florida State University Tallahassee, FL 32306 JOANNE LI, Department
More informationMultiplicative Models for Implied Volatility
Multiplicative Models for Implied Volatility Katja Ahoniemi Helsinki School of Economics, FDPE, and HECER January 15, 2007 Abstract This paper estimates a mixture multiplicative error model for the implied
More informationState Switching in US Equity Index Returns based on SETAR Model with Kalman Filter Tracking
State Switching in US Equity Index Returns based on SETAR Model with Kalman Filter Tracking Timothy Little, Xiao-Ping Zhang Dept. of Electrical and Computer Engineering Ryerson University 350 Victoria
More informationGARCH Models. Instructor: G. William Schwert
APS 425 Fall 2015 GARCH Models Instructor: G. William Schwert 585-275-2470 schwert@schwert.ssb.rochester.edu Autocorrelated Heteroskedasticity Suppose you have regression residuals Mean = 0, not autocorrelated
More informationMacro Risks and the Term Structure
Macro Risks and the Term Structure Geert Bekaert 1 Eric Engstrom 2 Andrey Ermolov 3 2015 The views expressed herein do not necessarily reflect those of the Federal Reserve System, its Board of Governors,
More information12. Conditional heteroscedastic models (ARCH) MA6622, Ernesto Mordecki, CityU, HK, 2006.
12. Conditional heteroscedastic models (ARCH) MA6622, Ernesto Mordecki, CityU, HK, 2006. References for this Lecture: Robert F. Engle. Autoregressive Conditional Heteroscedasticity with Estimates of Variance
More informationDeterminants of Systemic Risk. and Information Dissemination
Determinants of Systemic Risk and Information Dissemination Marcelo Bianconi* Xiaxin Hua** Chih Ming Tan*** Department of Economics Department of Economics Department of Economics Tufts University Clark
More informationList of tables List of boxes List of screenshots Preface to the third edition Acknowledgements
Table of List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements page xii xv xvii xix xxi xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is
More informationDemographics and the behavior of interest rates
Demographics and the behavior of interest rates (C. Favero, A. Gozluklu and H. Yang) Discussion by Michele Lenza European Central Bank and ECARES-ULB Firenze 18-19 June 2015 Rubric Persistence in interest
More informationMarket Discipline under Systemic Risk. Market Discipline under Systemic Risk. Seventh Annual International Seminar on Policy
Market Discipline under Systemic Risk Market Discipline under Systemic Risk Speaker: Sergio Schmukler Seventh Annual International Seminar on Policy Challenges for the Financial Sector Disclosure and Market
More informationExpected Inflation Regime in Japan
Expected Inflation Regime in Japan Tatsuyoshi Okimoto (Okki) Crawford School of Public Policy Australian National University June 26, 2017 IAAE 2017 Expected Inflation Regime in Japan Expected Inflation
More informationYou can define the municipal bond spread two ways for the student project:
PROJECT TEMPLATE: MUNICIPAL BOND SPREADS Municipal bond yields give data for excellent student projects, because federal tax changes in 1980, 1982, 1984, and 1986 affected the yields. This project template
More informationNews Sentiment And States of Stock Return Volatility: Evidence from Long Memory and Discrete Choice Models
20th International Congress on Modelling and Simulation, Adelaide, Australia, 1 6 December 2013 www.mssanz.org.au/modsim2013 News Sentiment And States of Stock Return Volatility: Evidence from Long Memory
More informationAre Investment Strategies Exploiting Option Investor Sentiment Profitable? Evidence from Japan
Vol. 4, No. 5 International Journal of Business and Management Are Investment Strategies Exploiting Option Investor Sentiment Profitable? Evidence from Japan Chikashi TSUJI Graduate School of Systems and
More informationМАГИСТЕРСКАЯ ДИССЕРТАЦИЯ MASTER THESIS
МАГИСТЕРСКАЯ ДИССЕРТАЦИЯ MASTER THESIS Title: Using modern search engines and social networks to predict stock returns and volatility Название: Новый подход в предсказании волатильности и доходности акций
More informationSurasak Choedpasuporn College of Management, Mahidol University. 20 February Abstract
Scholarship Project Paper 2014 Statistical Arbitrage in SET and TFEX : Pair Trading Strategy from Threshold Co-integration Model Surasak Choedpasuporn College of Management, Mahidol University 20 February
More informationLecture 5. Predictability. Traditional Views of Market Efficiency ( )
Lecture 5 Predictability Traditional Views of Market Efficiency (1960-1970) CAPM is a good measure of risk Returns are close to unpredictable (a) Stock, bond and foreign exchange changes are not predictable
More informationSeasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements
Seasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements Dr. Iqbal Associate Professor and Dean, College of Business Administration The Kingdom University P.O. Box 40434, Manama, Bahrain
More informationIntroductory Econometrics for Finance
Introductory Econometrics for Finance SECOND EDITION Chris Brooks The ICMA Centre, University of Reading CAMBRIDGE UNIVERSITY PRESS List of figures List of tables List of boxes List of screenshots Preface
More informationFUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE?
FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE? Florian Albrecht, Jean-Francois Bacmann, Pierre Jeanneret & Stefan Scholz, RMF Investment Management Man Investments Hedge funds have attracted significant
More informationModelling the Zero Coupon Yield Curve:
Modelling the Zero Coupon Yield Curve: A regression based approach February,2010 12 th Global Conference of Actuaries Srijan Sengupta Section 1: Introduction What is the zero coupon yield curve? Its importance
More informationThe University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay. Solutions to Final Exam
The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (42 pts) Answer briefly the following questions. 1. Questions
More informationRelationship between Consumer Price Index (CPI) and Government Bonds
MPRA Munich Personal RePEc Archive Relationship between Consumer Price Index (CPI) and Government Bonds Muhammad Imtiaz Subhani Iqra University Research Centre (IURC), Iqra university Main Campus Karachi,
More informationUniversal Properties of Financial Markets as a Consequence of Traders Behavior: an Analytical Solution
Universal Properties of Financial Markets as a Consequence of Traders Behavior: an Analytical Solution Simone Alfarano, Friedrich Wagner, and Thomas Lux Institut für Volkswirtschaftslehre der Christian
More informationLanguage, News and Volatility
Working Paper 2014:41 Department of Economics School of Economics and Management Language, News and Volatility Hans Byström November 2014 Language, News and Volatility HANS BYSTRÖM * November 27, 2014
More informationVOLATILITY MODELS AND THEIR APPLICATIONS
VOLATILITY MODELS AND THEIR APPLICATIONS Luc Bauwens, Christian Hafner, Sébastien Laurent A JOHN WILEY & SONS, INC., PUBLICATION CONTENTS 0 Forecasting volatility with MIDAS. Introduction. Regressions..
More informationThe Analysis of ICBC Stock Based on ARMA-GARCH Model
Volume 04 - Issue 08 August 2018 PP. 11-16 The Analysis of ICBC Stock Based on ARMA-GARCH Model Si-qin LIU 1 Hong-guo SUN 1* 1 (Department of Mathematics and Finance Hunan University of Humanities Science
More information