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Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sriananthakumar, Sivagowry; Silvapulle, Paramsothy - In: Applied financial economics 18 (2008) 4/6, pp. 267-273

Persistent link: https://www.econbiz.de/10003739092

Idiosyncratic volatility and stock returns : a cross country analysis

Pukthuanthong, Kuntara; Visaltanachoti, Nuttawat - In: Applied financial economics 19 (2009) 16/18, pp. 1269-1281

Empirical evidences regarding the association of idiosyncratic volatility and stock returns are inconsistent with the Capital Asset Pricing Model (CAPM), which implies that idiosyncratic risk should not be priced because it would be fully eliminated through diversification. Using Exponential...

Persistent link: https://www.econbiz.de/10003886161

The impact of stock incremental information on the volatility of the Athens stock exchange

Diamandis, Panayotis F.; Drakos, Anastassios A.; Volis, … - In: Applied financial economics 17 (2007) 4/6, pp. 413-424

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The price effects of FTSE 100 index revision : what drives the long-term abnormal return reversal?

Mazouz, Khelifa; Saadouni, Brahim - In: Applied financial economics 17 (2007) 4/6, pp. 501-510

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Heteroscedasticity and interval effects in estimating beta : UK evidence

Armitage, Seth; Brzeszczynski, Janusz - In: Applied financial economics 21 (2011) 19/21, pp. 1525-1538

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Seasonal processes in the Euro-US Dollar daily exchange rate

Cellini, Roberto; Cuccia, Tiziana - In: Applied financial economics 24 (2014) 1/3, pp. 161-174

Persistent link: https://www.econbiz.de/10010391453

Heteroscedasticity in stock returns data revisited : volume versus GARCH effects

Omran, M. F.; McKenzie, Eddie - In: Applied financial economics 10 (2000) 5, pp. 553-560

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Testing persistence in the context of conditional heteroscedasticity errors

Gil-Alaña, Luis A. - In: Applied financial economics 20 (2010) 22/24, pp. 1709-1723

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