An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/15:00434888

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

—

Svazek periodika

45

Číslo periodika v rámci svazku

February

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

193-206

Kód UT WoS článku

000349589900019

EID výsledku v databázi Scopus

2-s2.0-84918787787