Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data
Ola Oluwa S. Yaya, Luis A. Gil-Alana and Olanrewaju I. Shittu
| Year of publication: |
2015
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|---|---|
| Authors: | Yaya, OlaOluwa S. ; Gil-Alaña, Luis A. ; Shittu, Olanrewaju I. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 20.2015, 3, p. 276-290
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| Subject: | Bull and bear periods | fractional integration | high frequency | stock returns | volatility | Volatilität | Volatility | Börsenkurs | Share price | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011348408