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A new GARCH model with higher moments for stock return predictability

Narayan, Paresh Kumar; Liu, Ruipeng - In: Journal of international financial markets, … 56 (2018), pp. 93-103

Persistent link: https://www.econbiz.de/10011984164

Introduction: Emerging stock and bond markets : performance and volatility

Narayan, Paresh Kumar - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 857-858

Persistent link: https://www.econbiz.de/10011561100

Do order imbalances predict Chinese stock returns? : new evidence from intraday data

Narayan, Paresh Kumar; Narayan, Seema; Westerlund, Joakim - In: Pacific-Basin finance journal 34 (2015), pp. 136-151

Persistent link: https://www.econbiz.de/10011535319

Firm return volatility and economic gains : the role of oil prices

Narayan, Paresh Kumar; Sharma, Susan Sunila - In: Economic modelling 38 (2014), pp. 142-151

Persistent link: https://www.econbiz.de/10010418129

Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Persistent link: https://www.econbiz.de/10012203997

New evidence of psychological barrier from the oil market

Narayan, Paresh Kumar; Ranjeeni, Kumari; … - In: The journal of behavioral finance : a publication of … 18 (2017) 4, pp. 457-469

Persistent link: https://www.econbiz.de/10012008659

On the relationship between stock prices and exchange rates for India

Narayan, Paresh Kumar - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 289-308

Persistent link: https://www.econbiz.de/10003871588

The relationship between exchange rates, interest rates and Australian bank returns

Jain, Ameeta; Narayan, Paresh Kumar; Thomson, Dianne - In: Applied economics letters 18 (2011) 10/12, pp. 967-972

Persistent link: https://www.econbiz.de/10009317671

New evidence on turn-of-the-month effects

Sharma, Susan Sunila; Narayan, Paresh Kumar - In: Journal of international financial markets, … 29 (2014), pp. 92-108

Persistent link: https://www.econbiz.de/10010411546

Return-volatility relationship : insights from linear and non-linear quantile regression

Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009724826