Financialized Commodities and Stock Indices Volatilities

Long-range Dependence in Daily Stock Volatilities

Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory stochastic volatility models. Are such long-range dependencies common among stocks? Are they caused by the same sources of variation? In this paper, we classify daily stock returns of S&P 500 companies on...

Long-memory in volatilities of German stock returns

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both estimators give similar values for the memory parameter what indicates long-memory.

Information flow between stock indices

Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pacific region the biggest is receives the most information. According to the minimum spanning tree, the GSPC is located at the focal point of the information source for world stock markets. Introduct...

Predicting stock market indices movements

This paper examines the extent to which the daily movements of three large emerging markets stock indices are predictable. Lagged technical indicators are used as explanatory variables. In the analysis we employed seven classification techniques and assessed the discriminatory power of the classifiers through the area under the receiver operating characteristic (ROC) curve. The results show tha...

Interactions Of Returns and Volatilities Among Different Sizes Of Stocks: A Survey In Tehran Stock Exchange