Similar Search Results

Fractional integration in the stock market volatility series

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783

Persistent link: https://www.econbiz.de/10001763176

Measuring the memory parameter on several transformations of asset returns

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 675-692

Persistent link: https://www.econbiz.de/10003133833

The UK unemployment : long memory, seasonality and other implicit dynamics

Gil-Alaña, Luis A. - In: Economia internazionale 56 (2003) 3, pp. 323-335

Persistent link: https://www.econbiz.de/10001984767

Examining market efficiency for large and small-capitalization of TOPIX and FTSE stock indices

Hung, Jui-cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7/9, pp. 735-744

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...

Persistent link: https://www.econbiz.de/10003842695

UK unemployment dynamics : a fractionally cointegrated approach

Gil-Alaña, Luis A. - In: Economia internazionale 59 (2006) 1, pp. 33-50

Persistent link: https://www.econbiz.de/10003330750

Hedging with zero-value at risk hedge ratio

Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269

Persistent link: https://www.econbiz.de/10003291892

Estimation of value-at-risk under jump dynamics and asymmetric information

Chiu, Chien-liang; Lee, Ming-chih; Hung, Jui-cheng - In: Applied financial economics 15 (2005) 15, pp. 1095-1106

Persistent link: https://www.econbiz.de/10003213436

Testing for stock market bubbles using nonlinear models and fractional integration

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321

Persistent link: https://www.econbiz.de/10003605836

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764

Persistent link: https://www.econbiz.de/10009384839