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Jump volatility estimates of high frequency data and analysis based on HHT
Chen, Jiangrui; Yin, Lianqian; Hou, Sizhe; Zhang, Wei; … - In: International journal of economics and finance 7 (2015) 11, pp. 242-249
Persistent link: https://www.econbiz.de/10011401479
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New evidence on the impact of financial leverage on beta risk : a time-series approach
Faff, Robert W.; Brooks, Robert; Kee, Ho Yew - In: The North American journal of economics and finance : a … 13 (2002) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001716383
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Measuring and testing the impact of news on volatility
Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778
Persistent link: https://www.econbiz.de/10001155967
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A long memory property of stock market returns and a new model
Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10001146683
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Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F. - In: Journal of money, credit and banking : JMCB 25 (1993) 3, pp. 336-349
Persistent link: https://www.econbiz.de/10001150279
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Does intraday time-series momentum exist in Chinese stock index futures market?
Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012438384
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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Stock and currency market linkages : new evidence from realized spillovers in higher moments
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185
Persistent link: https://www.econbiz.de/10011625106
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Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns
Zhou, Jian; Gu, Gao-Feng; Jiang, Zhi-Qiang; Xiong, Xiong; … - In: Computational economics 50 (2017) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011783456
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Risk-neutral skewness and stock market returns : a time-series analysis
Li, Xiaowei; Wu, Zhengyu; Zhang, Hao; Zhang, Lu - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014491948