A multi-dynamic-factor model for stock returns
نویسندگان
چکیده
منابع مشابه
A Multi-Time Scale Non-Gaussian Model of Stock Returns
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary non-Gaussian process which captures many features observed in time series of real stock returns. These include volatility clustering, a kurtosis which decreases slowl...
متن کاملModel for non-Gaussian intraday stock returns.
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...
متن کاملA Multi-factor risk model for the Indian Stock Market
The paper attempts to find the evidence of a multi factor model for explaining stock price returns in the Indian stock market. It makes use of the technique of statistical factor analysis. The results of the factor analysis show that a five factor model is appropriate for explaining the returns generation process in India. The explanatory power of this five factor model is significantly better ...
متن کاملIdentifying common dynamic features in stock returns
This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...
متن کاملForecasting for Financial Stock Returns Using a Quantile Function Model
In this talk, we introduce a newly developed quantile function model that can be used for estimating conditional distributions of financial returns and for obtaining multi-step ahead out-of-sample predictive distributions of financial returns. Since we forecast the whole conditional distributions, any predictive quantity of interest about the future financial returns can be obtained simply as a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1992
ISSN: 0304-4076
DOI: 10.1016/0304-4076(92)90072-y