Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013
نویسندگان
چکیده
منابع مشابه
Forecasting the Volatility of the Dow Jones Islamic Stock Market Index : Long Memory vs . Regime Switching ∗
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical properties of the Dow Jones Islamic S...
متن کاملThe role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and cojumps across index constituents for forecasting index level volatility. In combination with the magnitude of past index jumps, the intensity of both index ...
متن کاملThe Stability of Moving Average Technical Trading Rules on the Dow Jones Index
This paper analyzes the behavior of moving average technical trading rules applied to over 100 years of the Dow Jones Industrial Index. It is found that the differences between conditional means during buy and sell periods has changed dramatically over the previous 10 years relative to the previous 90 years of data, but differences in conditional variances have not changed much over the entire ...
متن کاملThe Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their specification of the conditional variance, conditional correlation, and innovation distribution. All models b...
متن کاملAbsence of 1/f Spectra in Dow Jones Daily Average
The power spectrum of the daily Dow Jones industrial average is calculated. It has been shown that the spectrum is P (f) 1=f, very close to that of the random walk series (1=f noise). In contrast to some previous belief, the Dow Jones index as well as other stock prices time series are not 1=f noise. The distribution of the daily change of the Dow Jones industrial average is also calculated. Se...
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 Banking & Finance
سال: 2014
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2014.03.022