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Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
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Sources of exchange-rate volatility : impulses or propagation?
Karras, Georgies; Lee, Jin Man; Stokes, Houston H. - In: International review of economics & finance : IREF 14 (2005) 2, pp. 213-226
Persistent link: https://www.econbiz.de/10003357392
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Information content and other characteristics of the daily cross-sectional dispersion in stock returns
Connolly, Robert A.; Stivers, Christopher T. - In: Journal of empirical finance 13 (2006) 1, pp. 79-112
Persistent link: https://www.econbiz.de/10003278630
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The impact of federal funds target changes on interest rate volatility
Lee, Jim - In: International review of economics & finance : IREF 15 (2006) 2, pp. 241-259
Persistent link: https://www.econbiz.de/10003334412
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Small trades and volatility increases after stock splits
Chen, Chun-nan; Wu, Chunchi - In: International review of economics & finance : IREF 18 (2009) 4, pp. 592-610
Persistent link: https://www.econbiz.de/10003902672
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Why are stock returns and volatility negatively correlated?
Bae, Jinho; Kim, Chang-jin; Nelson, Charles R. - In: Journal of empirical finance 14 (2007) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10003416062
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Asymmetric temporary and permanent stock-price innovations
Shively, Philip A. - In: Journal of empirical finance 14 (2007) 1, pp. 120-130
Persistent link: https://www.econbiz.de/10003416068
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Extreme observations and non-normality in ARCH and GARCH
Bali, Rakesh; Guirguis, Hany S. - In: International review of economics & finance : IREF 16 (2007) 3, pp. 332-346
Persistent link: https://www.econbiz.de/10003613144
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Shock and volatility transmission in the oil, US and Gulf equity markets
Malik, Farooq; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 16 (2007) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10003613150
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Volatility of stock price as predicted by patent data : an MGARCH perspective
Chow, William W.; Fung, Michael Ka-yiu - In: Journal of empirical finance 15 (2008) 1, pp. 64-79
Persistent link: https://www.econbiz.de/10003692996