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~person:"Engle, Robert F."
~person:"Tiwari, Aviral Kumar"
~subject:"Estimation"
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1
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
- In:
The journal of finance : the journal of the American …
55
(
2000
)
6
,
pp. 2467-2498
Persistent link: https://www.econbiz.de/10001537329
Saved in:
2
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
-
1999
Persistent link: https://www.econbiz.de/10001395161
Saved in:
3
Time and the Price Impact of a Trade
Dufour, Alfonso
-
2013
times when there is an increased presence of informed traders; we interpret such markets as having reduced
liquidity
…
Persistent link: https://www.econbiz.de/10013073731
Saved in:
4
Tests of financial market contagion : evolutionary cospectral analysis v.s. wavelet analysis
Ftiti, Zied
;
Tiwari, Aviral Kumar
;
Belanès, Amél
; …
-
2014
Persistent link: https://www.econbiz.de/10010430696
Saved in:
5
Does the dynamics between government bond and equity markets validate the adaptive market hypothesis? : evidence from transfer entropy
Tiwari, Aviral Kumar
;
Jena, Sangram Keshari
;
Abakah, …
- In:
Applied economics
56
(
2024
)
2
,
pp. 186-201
Persistent link: https://www.econbiz.de/10014439885
Saved in:
6
Dynamic conditional beta is alive and well in the cross-section of daily stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Tang, Yi
-
2013
-
This draft: October 8, 2012
,
liquidity
, co-skewness, idiosyncratic volatility, and preference for lottery-like assets. -- dynamic conditional beta …
Persistent link: https://www.econbiz.de/10009710605
Saved in:
7
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.
-
2016
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008033
Saved in:
8
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
Bali, Turan G.
-
2016
This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...
Persistent link: https://www.econbiz.de/10013008070
Saved in:
9
Co-Movements between Germany and International Stock Markets : Some New Evidence from DCC-GARCH and Wavelet Approaches
Uddin, Gazi Salah
-
2013
The analysis of co-movements of stock market returns is a fundamental issue in finance. The aim of this paper is to examine the co-movement between Germany and major International Stock Markets in the time-frequency space. Our sample period goes from 01 June 1992 to 26 March 2013 and includes...
Persistent link: https://www.econbiz.de/10013077634
Saved in:
10
Do the Dynamics between Government Bond and Equity Markets Validate the Adaptive Market Hypothesis? Evidence from Transfer Entropy
Tiwari, Aviral Kumar
;
Jena, Sangram Keshari
;
Aikins …
-
2023
The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and direction of information flow between these two markets are dynamic across the state of the...
Persistent link: https://www.econbiz.de/10014256514
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