Matches in SemOpenAlex for { <https://semopenalex.org/work/W78166749> ?p ?o ?g. }
Showing items 1 to 94 of
94
with 100 items per page.
- W78166749 abstract "This paper examines the existence and nature of volatility clustering phenomena in the Athens FTSE20 index futures contract. An issue that permanently bewilders researchers, volatility clustering or persistence has been found present in most financial markets across the world. The purpose of this analysis is to offer an in-depth analysis of the characteristics of clustering in the domestic derivatives market. Our analysis shows that the time series of the Greek futures market exhibit volatility clustering, with negative shocks being more persistent than positive ones. The paper also applies GARCH-type, regression and exponential smoothing models in order to compare their forecasting power on volatility. The results show that GARCH models, albeit their heteroskedasticity-healing power do not prove their superiority, especially to the ES models that manage to give superior forecasts. In all, despite the fact that volatility clustering and many of its attributes are known and explored to a satisfactory level, there seems to be limited benefits in everyday trading, making its presence more of a curse than a blessing in forecasting the market." @default.
- W78166749 created "2016-06-24" @default.
- W78166749 creator A5023230665 @default.
- W78166749 date "2007-01-01" @default.
- W78166749 modified "2023-10-18" @default.
- W78166749 title "Volatility Clustering in the Greek Futures Market: Curse or Blessing?" @default.
- W78166749 cites W1526416848 @default.
- W78166749 cites W1527972302 @default.
- W78166749 cites W1983744200 @default.
- W78166749 cites W1985198035 @default.
- W78166749 cites W1999814123 @default.
- W78166749 cites W1999996900 @default.
- W78166749 cites W2001151831 @default.
- W78166749 cites W2009850097 @default.
- W78166749 cites W2014943504 @default.
- W78166749 cites W2035256086 @default.
- W78166749 cites W2060862212 @default.
- W78166749 cites W2064112214 @default.
- W78166749 cites W2074310789 @default.
- W78166749 cites W2085462022 @default.
- W78166749 cites W2094808838 @default.
- W78166749 cites W2116402578 @default.
- W78166749 cites W2118854883 @default.
- W78166749 cites W2151726729 @default.
- W78166749 cites W2169660794 @default.
- W78166749 cites W3122480063 @default.
- W78166749 cites W3122563859 @default.
- W78166749 cites W3123653015 @default.
- W78166749 cites W3124700790 @default.
- W78166749 cites W3125303607 @default.
- W78166749 doi "https://doi.org/10.2139/ssrn.984152" @default.
- W78166749 hasPublicationYear "2007" @default.
- W78166749 type Work @default.
- W78166749 sameAs 78166749 @default.
- W78166749 citedByCount "6" @default.
- W78166749 countsByYear W781667492013 @default.
- W78166749 countsByYear W781667492020 @default.
- W78166749 crossrefType "journal-article" @default.
- W78166749 hasAuthorship W78166749A5023230665 @default.
- W78166749 hasConcept C105795698 @default.
- W78166749 hasConcept C106159729 @default.
- W78166749 hasConcept C106306483 @default.
- W78166749 hasConcept C138885662 @default.
- W78166749 hasConcept C144133560 @default.
- W78166749 hasConcept C149782125 @default.
- W78166749 hasConcept C162324750 @default.
- W78166749 hasConcept C166957645 @default.
- W78166749 hasConcept C205649164 @default.
- W78166749 hasConcept C23922673 @default.
- W78166749 hasConcept C27206212 @default.
- W78166749 hasConcept C2776142675 @default.
- W78166749 hasConcept C2776195157 @default.
- W78166749 hasConcept C2780273121 @default.
- W78166749 hasConcept C2983622608 @default.
- W78166749 hasConcept C33923547 @default.
- W78166749 hasConcept C556758197 @default.
- W78166749 hasConcept C73555534 @default.
- W78166749 hasConcept C91602232 @default.
- W78166749 hasConceptScore W78166749C105795698 @default.
- W78166749 hasConceptScore W78166749C106159729 @default.
- W78166749 hasConceptScore W78166749C106306483 @default.
- W78166749 hasConceptScore W78166749C138885662 @default.
- W78166749 hasConceptScore W78166749C144133560 @default.
- W78166749 hasConceptScore W78166749C149782125 @default.
- W78166749 hasConceptScore W78166749C162324750 @default.
- W78166749 hasConceptScore W78166749C166957645 @default.
- W78166749 hasConceptScore W78166749C205649164 @default.
- W78166749 hasConceptScore W78166749C23922673 @default.
- W78166749 hasConceptScore W78166749C27206212 @default.
- W78166749 hasConceptScore W78166749C2776142675 @default.
- W78166749 hasConceptScore W78166749C2776195157 @default.
- W78166749 hasConceptScore W78166749C2780273121 @default.
- W78166749 hasConceptScore W78166749C2983622608 @default.
- W78166749 hasConceptScore W78166749C33923547 @default.
- W78166749 hasConceptScore W78166749C556758197 @default.
- W78166749 hasConceptScore W78166749C73555534 @default.
- W78166749 hasConceptScore W78166749C91602232 @default.
- W78166749 hasLocation W781667491 @default.
- W78166749 hasOpenAccess W78166749 @default.
- W78166749 hasPrimaryLocation W781667491 @default.
- W78166749 hasRelatedWork W2065732073 @default.
- W78166749 hasRelatedWork W2270242963 @default.
- W78166749 hasRelatedWork W2361769221 @default.
- W78166749 hasRelatedWork W2363760672 @default.
- W78166749 hasRelatedWork W2392378997 @default.
- W78166749 hasRelatedWork W2792114701 @default.
- W78166749 hasRelatedWork W3027684453 @default.
- W78166749 hasRelatedWork W3194331707 @default.
- W78166749 hasRelatedWork W78166749 @default.
- W78166749 hasRelatedWork W3152683136 @default.
- W78166749 isParatext "false" @default.
- W78166749 isRetracted "false" @default.
- W78166749 magId "78166749" @default.
- W78166749 workType "article" @default.