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Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Applied economics 44 (2012) 25/27, pp. 3533-3550
Persistent link: https://www.econbiz.de/10009619742
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An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692
Persistent link: https://www.econbiz.de/10011810876
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Housing booms and media coverage
Walker, Clive B. - In: Applied economics 46 (2014) 31/33, pp. 3954-3967
Persistent link: https://www.econbiz.de/10010419842
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Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index
Su, Ender; Bilson, John F. - In: Applied economics 43 (2011) 25/27, pp. 3891-3905
Persistent link: https://www.econbiz.de/10009380575
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Rolling-sampled parameters of ARCH and Levy-stable models
Degiannakis, Stavros; Livada, Alexandra; Panas, … - In: Applied economics 40 (2008) 22/24, pp. 3051-3067
Persistent link: https://www.econbiz.de/10003803846
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Expiration and maturity effect : empirical evidence from the Spanish spot and futures stock index
Aragó, Vicent; Fernández Poncet, Adrián - In: Applied economics 34 (2002) 13, pp. 1617-1626
Persistent link: https://www.econbiz.de/10001692502
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Stock prices, inflation and inflation uncertainty in the U.S. : testing the long-run relationship considering Dow Jones sector indexes
Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: Applied economics 49 (2017) 18, pp. 1794-1807
Persistent link: https://www.econbiz.de/10011815423
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A Bayesian approach to model changes in volatility in the Mexican stock exchange index
Cabrera, Gustavo; Coronado, Semei; Rojas, Omar; Romero, … - In: Applied economics 50 (2018) 15, pp. 1716-1724
Persistent link: https://www.econbiz.de/10011848848
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Forecasting stock market volatility and information content of implied volatility index
Pati, Pratap Chandra; Barai, Parama; Rajib, Prabina - In: Applied economics 50 (2018) 23, pp. 2552-2568
Persistent link: https://www.econbiz.de/10011850295