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Fractional integration in the stock market volatility series

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783

Persistent link: https://www.econbiz.de/10001763176

Public information and the persistence of bond market volatility

Jones, Charles M.; Lamont, Owen A.; Lumsdaine, Robin L. - 1996

Persistent link: https://www.econbiz.de/10000572757

Technological revolutions and stock prices

Pástor, Ľuboš; Veronesi, Pietro - 2006

Persistent link: https://www.econbiz.de/10003284970

Was there a Nasdaq bubble in the late 1990s?

Pástor, Ľuboš; Veronesi, Pietro - In: Journal of financial economics 81 (2006) 1, pp. 61-100

Persistent link: https://www.econbiz.de/10003340665

A simple non-linear model with fractional integration for financial time series data

Gil-Alaña, Luis A. - In: International review of financial analysis 17 (2008) 5, pp. 838-848

Persistent link: https://www.econbiz.de/10003792309

US stock market volatility persistence : evidence before and after the burst of the IT bubble

Cuñado, J.; Gil-Alaña, Luis A.; Perez de Gracia, Fernando - In: Review of quantitative finance and accounting 33 (2009) 3, pp. 233-252

Persistent link: https://www.econbiz.de/10003894796

Technological revolutions and stock prices

Pástor, Ľuboš; Veronesi, Pietro - In: The American economic review 99 (2009) 4, pp. 1451-1483

Persistent link: https://www.econbiz.de/10003896764

The earnings announcement premium and trading volume

Lamont, Owen A.; Frazzini, Andrea - 2007

On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest...

Persistent link: https://www.econbiz.de/10003464352

Technological revolutions and stock prices

Pástor, Ľuboš (contributor); Veronesi, Pietro (contributor) - 2005

Persistent link: https://www.econbiz.de/10003409487

Mean reversion in the Nikkei, Standard & Poor and Dow Jones stock market indices

Caporale, Guglielmo Maria (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003428295