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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models

Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410

Persistent link: https://www.econbiz.de/10010520466

Investor heterogeneity and asymmetric volatility under short-sale constraints : evidence from Korean fund market

Pando Sohn; Seo, Ji-yong - In: Estudios de economía 42 (2015) 1, pp. 21-51

This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is … a unique opportunity to test directly the differences of opinion among fund managers that operate fund monies under … in returns and an increase in differences of opinion among fund managers, which extended to an increase in asymmetric …

Persistent link: https://www.econbiz.de/10011281956

Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction

Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 327-336

Persistent link: https://www.econbiz.de/10011286211

Crude oil price shocks and stock returns : evidences from Turkish stock market under global liquidity conditions

Aydogan, Berna; Berk, Istemi - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 54-68

Persistent link: https://www.econbiz.de/10011287185

How do oil price changes affect German stock returns?

Cueppers, Laura; Smeets, Dieter - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 321-334

Persistent link: https://www.econbiz.de/10011287678

Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using...

Persistent link: https://www.econbiz.de/10011306093

Volatility and evaporating liquidity during the bund tantrum

Riordan, Ryan; Schrimpf, Andreas - In: BIS quarterly review : international banking and … (2015), pp. 10-11

Persistent link: https://www.econbiz.de/10011341765

Large-scale empirical tests of the Markov Tree model

Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318

The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...

Persistent link: https://www.econbiz.de/10011312214

How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index

Wang, Jying-Nan; Hsu, Yuan-Teng; Liu, Hung-Chun - In: International journal of economics and financial issues … 4 (2014) 3, pp. 651-656

Persistent link: https://www.econbiz.de/10010526918

Value-at-Risk analysis in the presence of asymmetry and long memory : the case of Turkish Stock Market

Balibey, Mesut; Turkyilmaz, Serpil - In: International journal of economics and financial issues … 4 (2014) 4, pp. 836-848

Persistent link: https://www.econbiz.de/10010528502