Testing for Predictability in Conditionally Heteroskedastic Stock Returns

By Joakim Westerlund, Paresh Kumar Narayan. 2015

298 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e81397f6ea440dfac40ed64178a5399c3130fec

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Citations in the corpus

Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark (2020, background): “Finally, note that in contrast to financial econometrics, where het-eroskedasticity is a basic building block of many state-of-the-art approaches [86], models with generalized autoregressive conditional het-eroskedastic (GARCH) residuals have been tried for EPF without much success, for a review…”
Assessing the safe haven property of the gold market during COVID-19 pandemic (2021, methodology): “…heteroscedasticity effect (due to the use of high frequency data) and persistence (which is typical of most financial and economic time series) (see Westerlund & Narayan, 2012, 2015): rt = α+ ∑5 i=1 λadji uct− i + γ(uct − ρ0uct− 1)+ ηt (1) where rt is the log return of gold price; ucis the market…”
Uncertainty Due to Infectious Diseases and Energy Market Volatility (2020, methodology): “…the predictability analyses to the predictor(s) of interest while it also simultaneously resolves any inherent bias (see Westerlund & Narayan, 2012; Westerlund & Narayan, 2015, for the theoretical expositions; and also Narayan & Gupta, 2015; Narayan et al., 2018; Salisu, Raheem, et al., 2019;…”
Has oil price predicted stock returns for over a century (2015, methodology): “The Westerlund and Narayan (2012) test for predictability (or rather the absence thereof) is the resulting GLS t-statistic for testing : #$% = 0 in Equation (4).”
Pandemics and the Asia-Pacific Islamic Stocks (2020, methodology): “Using a predictability model suitable for the variables of interest (see Westerlund & Narayan, 2012, 2015), we find strong evidence in support of the hedging potential of the Asia-Pacific Islamic stocks during pandemics and epidemics compared to conventional stocks.”