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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/26731
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dc.contributor.authorGoyal, Abhinaven_UK
dc.contributor.authorKallinterakis, Vasileiosen_UK
dc.contributor.authorKambouroudis, Dimos Sen_UK
dc.contributor.authorLaws, Jasonen_UK
dc.date.accessioned2018-05-12T00:40:10Z-
dc.date.available2018-05-12T00:40:10Z-
dc.date.issued2018en_UK
dc.identifier.urihttp://hdl.handle.net/1893/26731-
dc.description.abstractWe test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before and after the outbreak of the global financial crisis. Controlling for the presence of feedback traders, the accuracy of the EGARCH (1,1) model is not affected, something further confirmed for both the pre and post crisis periods. Overall, ARCH effects can be found in the Euronext and OMX indices, with our results further indicating the presence of significant positive feedback trading in several of our tests.en_UK
dc.language.isoenen_UK
dc.publisherTaylor and Francisen_UK
dc.relationGoyal A, Kallinterakis V, Kambouroudis DS & Laws J (2018) Cross-border exchanges and volatility forecasting. Quantitative Finance, 18 (5), pp. 789-799. https://doi.org/10.1080/14697688.2017.1414512en_UK
dc.rightsThis item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. This is an Accepted Manuscript of an article published by Taylor & Francis Group in Quantitative Finance on 23 Jan 2018, available online: http://www.tandfonline.com/10.1080/14697688.2017.1414512en_UK
dc.subjectVolatility forecastingen_UK
dc.subjectExchange groupsen_UK
dc.subjectFeedback tradingen_UK
dc.subjectGlobal financial crisis JEL Classification: G01en_UK
dc.subjectG02en_UK
dc.subjectG15en_UK
dc.subjectG17en_UK
dc.titleCross-border exchanges and volatility forecastingen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2019-07-24en_UK
dc.rights.embargoreason[QF 2017 RR.pdf] Publisher requires embargo of 18 months after formal publication.en_UK
dc.identifier.doi10.1080/14697688.2017.1414512en_UK
dc.citation.jtitleQuantitative Financeen_UK
dc.citation.issn1469-7696en_UK
dc.citation.issn1469-7688en_UK
dc.citation.volume18en_UK
dc.citation.issue5en_UK
dc.citation.spage789en_UK
dc.citation.epage799en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emaild.s.kambouroudis@stir.ac.uken_UK
dc.citation.date23/01/2018en_UK
dc.contributor.affiliationUniversity of Liverpoolen_UK
dc.contributor.affiliationUniversity of Liverpoolen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationUniversity of Liverpoolen_UK
dc.identifier.isiWOS:000430150000009en_UK
dc.identifier.scopusid2-s2.0-85041109226en_UK
dc.identifier.wtid880163en_UK
dc.contributor.orcid0000-0002-8230-0028en_UK
dc.date.accepted2017-12-05en_UK
dcterms.dateAccepted2017-12-05en_UK
dc.date.filedepositdate2018-02-16en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorGoyal, Abhinav|en_UK
local.rioxx.authorKallinterakis, Vasileios|en_UK
local.rioxx.authorKambouroudis, Dimos S|0000-0002-8230-0028en_UK
local.rioxx.authorLaws, Jason|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2019-07-24en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||2019-07-23en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/all-rights-reserved|2019-07-24|en_UK
local.rioxx.filenameQF 2017 RR.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1469-7688en_UK
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