An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10281677" target="_blank" >RIV/00216208:11230/15:10281677 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/15:00434888
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0264999314004647" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0264999314004647</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2014.11.024" target="_blank" >10.1016/j.econmod.2014.11.024</a>
Alternative languages
Result language
angličtina
Original language name
An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices
Original language description
This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employed to explain both the cointegration dynamics between daily high and low stock prices and the long memory of their linear combination, i.e., the range. Daily high and low stock prices are of particular interest because theyprovide valuable information about range-based volatility, which is considered a highly efficient and robust estimator of volatility. We provide a comparison of the Czech PX index with other world market indices: the German Deutscher Aktienindex (DAX),U.K. Financial Times Stock Exchange (FTSE) 100, U.S. Standard and Poor's (S&P) 500 and Japanese Nihon Keizai Shimbun (NIKKEI) 225 during the 2003-2012 period, that is, before and during the financial crisis. We find that the ranges of all
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Modelling
ISSN
0264-9993
e-ISSN
—
Volume of the periodical
45
Issue of the periodical within the volume
February
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
193-206
UT code for WoS article
000349589900019
EID of the result in the Scopus database
2-s2.0-84918787787