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This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...
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post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before …
Persistent link: https://www.econbiz.de/10011482859
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …
Persistent link: https://www.econbiz.de/10014234020
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
Persistent link: https://www.econbiz.de/10003931070
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. -- High frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009735715