A discrete and a continuous-time Model Based on a technical trading rule

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2007
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27587
Resumo: In this article we propose a model in discrete and continuous time that incorporates explicitly a technical trading rule in the specification of the volatility. The proposed discrete-time model is an alternative to GARCH-type processes. We derive conditions for the covariance and strict stationarity of the discrete-time process and we study the estimation and inference problems. We also analyze the conditions under which the discrete-time process converges in distribution to a diffusion process. To illustrate the proposed model and compare it with the GARCH specification, we analyze the daily closing stock prices of two major U.S. companies (Microsoft and Oracle), two stock indices (DAX and NASDAQ) and two U.S. Dollar exchange rates (Euro and Sterling).
id RCAP_79e0bfe3b363010ab076aba4f52bb382
oai_identifier_str oai:www.repository.utl.pt:10400.5/27587
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling A discrete and a continuous-time Model Based on a technical trading ruleConditional HeteroskedasticityParametric EstimationStochastic Differential EquationsDiffusion ProcessesIn this article we propose a model in discrete and continuous time that incorporates explicitly a technical trading rule in the specification of the volatility. The proposed discrete-time model is an alternative to GARCH-type processes. We derive conditions for the covariance and strict stationarity of the discrete-time process and we study the estimation and inference problems. We also analyze the conditions under which the discrete-time process converges in distribution to a diffusion process. To illustrate the proposed model and compare it with the GARCH specification, we analyze the daily closing stock prices of two major U.S. companies (Microsoft and Oracle), two stock indices (DAX and NASDAQ) and two U.S. Dollar exchange rates (Euro and Sterling).Oxford University PressRepositório da Universidade de LisboaNicolau, João2023-04-05T13:10:18Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27587engNicolau, João .(2007). “A discrete and a continuous-time Model Based on a technical trading rule”. Journal of Financial Econometrics, Vol. 5, No. 2: pp. 266–284. (Search PDF in 2007)10.1093/jjfinec/nbm002info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:16Zoai:www.repository.utl.pt:10400.5/27587Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:03.065305Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A discrete and a continuous-time Model Based on a technical trading rule
title A discrete and a continuous-time Model Based on a technical trading rule
spellingShingle A discrete and a continuous-time Model Based on a technical trading rule
Nicolau, João
Conditional Heteroskedasticity
Parametric Estimation
Stochastic Differential Equations
Diffusion Processes
title_short A discrete and a continuous-time Model Based on a technical trading rule
title_full A discrete and a continuous-time Model Based on a technical trading rule
title_fullStr A discrete and a continuous-time Model Based on a technical trading rule
title_full_unstemmed A discrete and a continuous-time Model Based on a technical trading rule
title_sort A discrete and a continuous-time Model Based on a technical trading rule
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Conditional Heteroskedasticity
Parametric Estimation
Stochastic Differential Equations
Diffusion Processes
topic Conditional Heteroskedasticity
Parametric Estimation
Stochastic Differential Equations
Diffusion Processes
description In this article we propose a model in discrete and continuous time that incorporates explicitly a technical trading rule in the specification of the volatility. The proposed discrete-time model is an alternative to GARCH-type processes. We derive conditions for the covariance and strict stationarity of the discrete-time process and we study the estimation and inference problems. We also analyze the conditions under which the discrete-time process converges in distribution to a diffusion process. To illustrate the proposed model and compare it with the GARCH specification, we analyze the daily closing stock prices of two major U.S. companies (Microsoft and Oracle), two stock indices (DAX and NASDAQ) and two U.S. Dollar exchange rates (Euro and Sterling).
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2023-04-05T13:10:18Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27587
url http://hdl.handle.net/10400.5/27587
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João .(2007). “A discrete and a continuous-time Model Based on a technical trading rule”. Journal of Financial Econometrics, Vol. 5, No. 2: pp. 266–284. (Search PDF in 2007)
10.1093/jjfinec/nbm002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Oxford University Press
publisher.none.fl_str_mv Oxford University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131572082835456

Registros relacionados