This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models …. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the … behaviour of these returns do not follow random walk movement. Results of this study also reveal that all the estimated time …

. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end …, we compute the index volatility by means of the log–return standard deviation. We choose an hourly time window in order … to investigate intraday properties of volatility. A periodic component is found for the hourly time window, in agreement …

persistence of change in fundamentals, two patterns may exist between the autocorrelation of exchange rate change and the time …

account the non-Markovian and non-local character of financial time series. Predictions on the long-time behaviour of the … waiting-time probability density are presented. Finally, a general scaling form is given, based on the solution of the …

We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight …

The distribution of the value of travel time savings (VTTS) is investigated employing various nonparametric techniques …