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Long memory and periodicity in intraday volatility
Rossi, Eduardo; Fantazzini, Dean - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
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Intraday volatility and volume in China's stock index and index futures markets
Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955
Persistent link: https://www.econbiz.de/10011471124
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The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns
Kim, Wonse; Lee, Junseok; Kang, Kyungwon - In: Finance research letters 33 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430906
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Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data
Uctum, Remzi; Renou-Maissant, Patricia; Prat, Georges; … - In: Review of financial economics : RFE 35 (2017), pp. 43-56
Persistent link: https://www.econbiz.de/10011959408
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Did cryptomarket chaos unleash Silvergate's bankruptcy? : investigating the high-frequency volatility and connectedness behind the collapse
Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: Journal of international financial markets, … 89 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014490072
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COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
Naeem, Muhammad Abubakr; Sitara Karim; Yarovaya, Larisa; … - In: Energy economics 122 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014440746
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Do social media sentiments drive cryptocurrency intraday price volatility? : new evidence from asymmetric TVP-VAR frequency connectedness measures
Long, Suwan; Chatziantoniou, Ioannis; Gabauer, David; … - In: The European journal of finance 30 (2024) 13, pp. 1470-1489
Persistent link: https://www.econbiz.de/10014636574
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Some stylised facts about the exchange rate behaviour of Central European currencies
Vejmělek, Jan - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011537495
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Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena - In: Journal of financial econometrics 19 (2021) 4, pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083