Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Vicent Aragó"'
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday data series, namely, the pres
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::191a110073ae2bc26df8b6ec9cdff337
https://doi.org/10.1016/j.econmod.2020.08.012
https://doi.org/10.1016/j.econmod.2020.08.012
This article evaluates the usefulness of high-frequency data in optimal portfolio choice. The authors use a comprehensive list of major stock indexes and different frequencies of observations. Furthermore, they consider the impact of economic cycles,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::09e7b7bc96878ce7b7a8a665a2e40f31
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching models and the regime-depend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aab1439b65ced2b639af970c7cb2eff4
https://doi.org/10.1016/j.iref.2020.03.009
https://doi.org/10.1016/j.iref.2020.03.009
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response anal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5591a10a1be54984cf3c916384bdee03
Autor:
Enrique Salvador, Vicent Aragó
Publikováno v:
Journal of Futures Markets. 34:374-398
This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cec627adddb63aeeb56fe5b299dfae69
https://doi.org/10.1002/fut.21598
https://doi.org/10.1002/fut.21598
Publikováno v:
Journal of Multinational Financial Management. 17:112-124
The aim of this study is to analyze the influence of structural changes in volatility on the transmission of information. We present empirical evidence on European stock exchange markets based on information from the principal European stock indexes.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1cfa7288859b6b658c9313e8de1d2762
https://doi.org/10.1016/j.mulfin.2006.05.002
https://doi.org/10.1016/j.mulfin.2006.05.002
Autor:
Vicent Aragó, Enrique Salvador
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f629bf315276b260403fe6520dbe3c93
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers the current state of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6dab87d6f46fcd6ebf6d53d5c57a6720
Autor:
Luisa Nieto, Vicent Aragó
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 15:271-284
Summary This study re-examines the results of [Lamoureax, C.G., Lastrapes, W.D., 1990. Heteroskedasticity in stock return data: volume versus GARCH effects. Journal of Business & Economic Statistics (2), 253–260]. Lamoureux and Lastrapes (1990) ana
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1d03ae0a2da05fca5ff415765e8f89a2
https://doi.org/10.1016/j.intfin.2004.06.001
https://doi.org/10.1016/j.intfin.2004.06.001
Publikováno v:
Journal of Asset Management. 4:277-287
This study aims to model volatility as an approximation to an optimum measurement of stock market risk because of the importance of this concept for, among other things, the proper management of portfolios. Following the proposal of Lamoureux and Las
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8975c2b334899522a4c32f960dc63d23
https://doi.org/10.1057/palgrave.jam.2240108
https://doi.org/10.1057/palgrave.jam.2240108