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A new approach to bad news effects on volatility: the multiple-sign-volume sens...
Curto, José Dias; Tomaz, João Amaral; Pinto, José CastroWOS:000264496200004 (Nº de Acesso Web of Science) ; In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test f...
Modeling stock markets’ volatility using GARCH models with Normal, Student’s t ...
Curto, José Dias; Pinto, José Castro; Tavares, Gonçalo NunoWOS:000262577000006 (Nº de Acesso Web of Science) ; As GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese ...
The coefficient of variation asymptotic distribution in the case of non-iid ran...
Curto, José Dias; Pinto, José CastroWOS:000260573200003 (Nº de Acesso Web of Science) ; Due to the widespread use of the coefficient of variation in empirical finance, we derive its asymptotic sampling distribution in the case of non-iid random variables to deal with autocorrelation and/or conditional heteroskedasticity stylized facts of financial returns. We also propose statistical tests for the comparison of two coefficients of variation base...
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