Narrow search
Showing 1 - 10 of 47,735
Cover Image
Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-man - In: International review of economics & finance : IREF 42 (2016), pp. 291-312
Persistent link: https://www.econbiz.de/10011625119
Cover Image
Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161
Persistent link: https://www.econbiz.de/10011644073
Cover Image
A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …
Persistent link: https://www.econbiz.de/10010392823
Cover Image
Macroeconomic news surprises, volume and volatility relationship in index futures market
Banerjee, Ameet Kumar; Pradhan, H. K.; Tripathy, Trilochan - In: Applied economics 52 (2020) 3, pp. 275-287
Persistent link: https://www.econbiz.de/10012197389
Cover Image
Trading volume, return variability and short-term momentum
Gökçen, Umut; Post, Thierry - In: The European journal of finance 24 (2018) 1/3, pp. 231-249
Persistent link: https://www.econbiz.de/10012244308
Cover Image
Liquidity dynamics around jumps : the evidence from the Warsaw Stock Exchange
Będowska-Sójka, Barbara - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2740-2755
Persistent link: https://www.econbiz.de/10011675655
Cover Image
Testing the mixture of distributions hypothesis on target stocks
Carroll, Rachael; Kearney, Colm - In: Journal of international financial markets, … 39 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011475222
Cover Image
Dynamic transmissions between main stock markets and SME stock markets : evidence from tropical economies
Nguyen, Trang; Chaiechi, Taha; Eagle, Lynne C.; Low, … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 308-324
Persistent link: https://www.econbiz.de/10012416910
Cover Image
The empirical investigation of causal relationship between intraday return and volume in Indian stock market
Sahota, Gurleen; Singh, Balwinder - In: Vision : the journal of business perspective 20 (2016) 3, pp. 199-210
Persistent link: https://www.econbiz.de/10011667354
Cover Image
Intraday jumps and trading volume : a nonlinear Tobit specification
Jawadi, Fredj; Louhichi, Waël; Cheffou, Abdoulkarim Idi; … - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1167-1186
Persistent link: https://www.econbiz.de/10011596214