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Volatility transmission in global financial markets
Clements, Adam; Hurn, Stan; Volkov, V. V. - In: Journal of empirical finance 32 (2015), pp. 3-18
Persistent link: https://www.econbiz.de/10011556742
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A semi-parametric point process model of the interactions between equity markets
Clements, Adam; Hurn, Stan; Lindsay, Kenneth A.; … - 2017
Persistent link: https://www.econbiz.de/10011710921
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Common trends in global volatility
Clements, Adam; Hurn, Stan; Volkov, V. V. - In: Journal of international money and finance 67 (2016), pp. 194-214
Persistent link: https://www.econbiz.de/10011711615
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Estimating a non-parametric memory kernel for mutually exciting point processes
Clements, Adam; Hurn, Stan; Lindsay, Kenneth A.; … - In: Journal of financial econometrics 21 (2023) 5, pp. 1759-1790
Persistent link: https://www.econbiz.de/10014444733
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A simple linear alternative to multiplicative error models with an application to trading volume
Clements, Adam; Hurn, Stan; Volkov, V. V. - 2021
Persistent link: https://www.econbiz.de/10013254069