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Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12
Persistent link: https://www.econbiz.de/10003301505
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Oil price uncertainty and sectoral stock returns in China : a time-varying approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: China economic review : an international journal 34 (2015), pp. 311-321
Persistent link: https://www.econbiz.de/10011459802
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Volatility changes caused by the trading system : a Markov switching application
Chelley-Steeley, Patricia L.; Li, Yan - In: Applied financial economics letters 1 (2005) 6, pp. 373-380
Persistent link: https://www.econbiz.de/10003229638
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The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
Li, Yan; Liang, Chao; Ma, Feng; Wang, Jiqian - In: Finance research letters 36 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012484308
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How do sovereign credit default swap spreads behave under extreme oil price movements? : evidence from G7 and BRICS countries
Wang, Jun; Sun, Xiaolei; Li, Jianping - In: Finance research letters 34 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012438125
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Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models
Wei, Yu; Liang, Chao; Li, Yan; Zhang, Xunhui; Wei, Guiwu - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438364
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Measuring the interdependence between investor sentiment and crude oil returns : new evidence from the CFTC's disaggregated reports
Ji, Qiang; Li, Jianping; Sun, Xiaolei - In: Finance research letters 30 (2019), pp. 420-425
Persistent link: https://www.econbiz.de/10012420931
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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Macro news and exchange rates in the BRICS
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Finance research letters 21 (2017), pp. 140-143
Persistent link: https://www.econbiz.de/10011807527
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Dynamic interaction between economic policy uncertainty and financial stress : a multi-scale correlation framework
Sun, Xiaolei; Yao, Xiaoyang; Wang, Jun - In: Finance research letters 21 (2017), pp. 214-221
Persistent link: https://www.econbiz.de/10011807788