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Intraday volatility and scaling in high frequency foreign exchange markets
Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126
Persistent link: https://www.econbiz.de/10009295805
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ARCH and GARCH models vs. martingale volatility of finance market returns
McCauley, Joseph L. - In: International review of financial analysis 18 (2009) 4, pp. 151-153
Persistent link: https://www.econbiz.de/10003921029
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Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783
Persistent link: https://www.econbiz.de/10003792190
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Is integration I(d) applicable to observed economics and finance time series?
McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108
Persistent link: https://www.econbiz.de/10003880011