Počet záznamů: 1  

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

  1. 1.
    0434888 - ÚTIA 2016 RIV NL eng J - Článek v odborném periodiku
    Baruník, Jozef - Dvořáková, S.
    An Empirical Model Of Fractionally Cointegrated Daily High And Low Stock Market Prices.
    Economic Modelling. Roč. 45, č. 1 (2015), s. 193-206. ISSN 0264-9993. E-ISSN 1873-6122
    Grant CEP: GA ČR(CZ) GBP402/12/G097
    Klíčová slova: fractional cointegration * long memory * range * volatility * daily high and low prices
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.997, rok: 2015
    http://library.utia.cas.cz/separaty/2014/E/barunik-0434888.pdf

    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 they provide 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.
    Trvalý link: http://hdl.handle.net/11104/0239121

     
     
Počet záznamů: 1  

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