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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu; Hou, Xinmeng - In: Finance research letters 30 (2019), pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
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Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: International review of financial analysis 45 (2016), pp. 180-188
Persistent link: https://www.econbiz.de/10011581967
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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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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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A real-rime GARCH-MIDAS model
Wu, Xinyu; Zhao, An; Cheng, Tengfei - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473667