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Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model
Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013538992
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Decomposing US Stock Market Comovement into spillovers and common factors
Weber, Enzo - In: The North American journal of economics and finance : a … 26 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10010364818
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Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 519-534
Persistent link: https://www.econbiz.de/10010367563
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How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
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The economics of data : using simple model-free volatility in a high-frequency world
Garvey, John; Gallagher, Liam - In: The North American journal of economics and finance : a … 26 (2013), pp. 370-379
Persistent link: https://www.econbiz.de/10010367578
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EVT and tail-risk modelling : evidence from market indices and volatility series
Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: The North American journal of economics and finance : a … 26 (2013), pp. 355-369
Persistent link: https://www.econbiz.de/10010367580
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Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Zheng, Tingguo; Zuo, Haomiao - In: The North American journal of economics and finance : a … 26 (2013), pp. 643-662
Persistent link: https://www.econbiz.de/10010370486
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Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
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Using CARRX models to study factors affecting the volatilities of Asian equity markets
Sin, Chor-yiu - In: The North American journal of economics and finance : a … 26 (2013), pp. 552-564
Persistent link: https://www.econbiz.de/10010370494
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Volatility spillover dynamics and relationship across G7 financial markets
Liow, Kim Hiang - In: The North American journal of economics and finance : a … 33 (2015), pp. 328-365
Persistent link: https://www.econbiz.de/10011535255