Narrow search
Showing 1 - 10 of 725
Cover Image
Long memory, realized volatility and HAR models
Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
Cover Image
On the predictability of daytime and night-time yen/dollar exchange rates
Fukuda, Shin'ichi - In: Applied economics letters 23 (2016) 7/9, pp. 618-622
Persistent link: https://www.econbiz.de/10011628029
Cover Image
A range-based multivariate stochastic volatility model for exchange rates
Tims, Ben; Mahieu, Ronald J. - In: Econometric reviews 25 (2006) 2/3, pp. 409-424
Persistent link: https://www.econbiz.de/10003355802
Cover Image
Bayesian analysis of stochastic volatility models with flexible tails
Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143
Persistent link: https://www.econbiz.de/10001240681
Cover Image
Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
Cover Image
Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
Cover Image
Effect of uncertainty on U.S. stock returns and volatility : evidence from over eighty years of high-frequency data
Gupta, Rangan; Marfatia, Hardik A.; Olson, Eric - In: Applied economics letters 27 (2020) 16, pp. 1305-1311
Persistent link: https://www.econbiz.de/10012267127
Cover Image
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Cover Image
Volatility spillover effect : a semiparametric analysis of non-cointegrated process
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145
Persistent link: https://www.econbiz.de/10011373301
Cover Image
Long-memory and shifts in the unconditional variance in the exchange rate euro, US dollar returns
Nouira, Lei͏̈la; Ahamada, Ibrahim; Jouini, Jamel; … - In: Applied economics letters 11 (2004) 9, pp. 591-594
Persistent link: https://www.econbiz.de/10002140966