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Long memory and volatility dyn...
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ECONIS (ZBW)
450
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1
How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate
volatility
? : evidence from major currencies
Wang, Xinyu
;
Qi, Zikang
;
Huang, Jianglu
- In:
Economic modelling
120
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
Saved in:
2
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
Saved in:
3
On business cycle fluctuations in
USA
macroeconomic time series
Kiani, Khurshid M.
- In:
Economic modelling
53
(
2016
),
pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
Saved in:
4
Modeling nonlinear Granger causality between the oil price and US dollar : a wavelet based approach
Benhmad, François
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1505-1514
Persistent link: https://www.econbiz.de/10009667309
Saved in:
5
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane
;
Uctum, Remzi
- In:
Economic modelling
54
(
2016
),
pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
Saved in:
6
Real or spurious long memory characteristics of
volatility
: empirical evidence from an emerging market
Yalama, Abdullah
;
Celik, Sibel
- In:
Economic modelling
30
(
2013
),
pp. 67-72
Persistent link: https://www.econbiz.de/10009702263
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Regime-dependent effects of macroeconomic uncertainty on realized
volatility
in the US stock market
Liu, Wei
;
Garrett, Ian
- In:
Economic modelling
128
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014464307
Saved in:
10
An empirical model of fractionally cointegrated daily high and low stock market prices
Baruník, Jozef
;
Dvořáková, Sylvie
- In:
Economic modelling
45
(
2015
),
pp. 193-206
Persistent link: https://www.econbiz.de/10011334126
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