𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Intraday stock returns and performance of a simple market model

✍ Scribed by Aktas, Elvan

Book ID
126574062
Publisher
Taylor and Francis Group
Year
2008
Tongue
English
Weight
112 KB
Volume
18
Category
Article
ISSN
0960-3107

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Intraday dynamics of stock market return
Intraday dynamics of stock market returns and volatility
✍ Faruk SelΓ§uk; Ramazan GenΓ§ay πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 497 KB

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show

Forecasting Performance of Nonlinear Mod
Forecasting Performance of Nonlinear Models for Intraday Stock Returns
✍ JosΓ© M. MatΓ­as; Juan C. Reboredo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 401 KB πŸ‘ 1 views

## ABSTRACT We studied the predictability of intraday stock market returns using both linear and nonlinear time series models. For the S&P 500 index we compared simple autoregressive and random walk linear models with a range of nonlinear models, including smooth transition, Markov switching, artif

A double-threshold GARCH model of stock
A double-threshold GARCH model of stock market and currency shocks on stock returns
✍ Yung-Lieh Yang; Chia-Lin Chang πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 491 KB

International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market ret