In this paper the scale mixture of Gaussian distribution is used to model the stock return data in financial market. There are many volatility models and forecasting methods. Some of the models are Historical volatility models, Implied volatility models, Autoregressive Conditional Heteroskedasticity models, models based on Artificial Neural Network. All these models are direct models. In these ...

Article history: Received 20 June 2014 Received in revised form 25 September 2014 Accepted 26 September 2014 Available online 5 October 2014 This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil ...

We consider the modelling of volatility on closely related markets. Univariate fractional Ž . volatility FIGARCH models are now standard, as are multivariate GARCH models. In this paper, we adopt a combination of the two methodologies. There is as yet little consensus on the methodology for testing for fractional cointegration. The contribution of this paper is to demonstrate the feasibility of...

Article history: Received 10 April 2006 Received in revised form 4 August 2009 Accepted 20 August 2009 Available online 28 August 2009 This paper uses both linear and nonlinear causality tests to reexamine the causal relationship between the returns on large and small firms. Consistent with previous results, we find that large firms linearly lead small firms. We also find a significant linear c...

Accurate volatility predictions are crucial for the successful implementation of risk management. The use of high frequency data approximately renders volatility from a latent to an observable quantity, and opens new directions to forecast future volatilities. Our goals in this paper are: (i) to select an accurate forecasting procedure for predicting volatilities based on high frequency data fr...

The Journal of Economic Literature codes classification system (JEL) published by the American Association (AEA) is de facto standard for research literature in economics. JEL used to classify articles, dissertations, books, book reviews, and working papers EconLit, a database maintained AEA. Over time, it has evolved extended with over 850 subclasses. This paper reviews history development sys...

In this paper we examine the link between stock market uncertainty and monetary policy in the US. There are strong arguments why central banks should account for stock market uncertainty in their strategy. Amongst others, they can maintain the functioning of financial markets and moderate possible economic downswings. To describe the behavior of the Federal Reserve Bank, augmented forward-looki...

We develop a new multivariate generalized ARCH (GARCH) parameterization suitable for testing the hypothesis that the optimal futures hedge ratio is constant over time, given that the joint distribution of cash and futures prices is characterized by autoregressive conditional heteroskedasticity (ARCH). The advantage of the new parameterization is that it allows for a flexible form of time-varyin...

In this paper we examine the link between stock market uncertainty and monetary policy in the US. There are strong arguments why central banks should account for stock market uncertainty in their strategy. Amongst others, they can maintain the functioning of financial markets and moderate possible economic downswings. To describe the behavior of the Federal Reserve Bank, augmented forward-looki...

This paper focuses on the theory of uncovered interest rate parity and whether interest-rate differentials have resulted in the higher interest rate currency depreciating over time. Previous literature has empirically rejected the theory indicating that higher interest rate currencies have actually appreciated relative to lower interest rate currencies. In this paper, uncovered interest rate pa...