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Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

Persistent link: https://www.econbiz.de/10011995731

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Modelling time-varying volatility in the Indian stock returns : some empirical evidence

Tripathy, Trilochan; Gil-Alaña, Luis A. - In: Review of development finance 5 (2015) 2, pp. 91-97

Persistent link: https://www.econbiz.de/10011447272

On the persistence and volatility in European, American and Asian stocks bull and bear markets

Gil-Alaña, Luis A.; Shittu, Olanrewaju I.; Yaya, … - In: Journal of international money and finance 40 (2014), pp. 149-162

Persistent link: https://www.econbiz.de/10010239995

Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12

Persistent link: https://www.econbiz.de/10003301505

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863

Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455804

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 46 (2022) 4, pp. 678-703

Persistent link: https://www.econbiz.de/10013442222

Long-term price overreactions : are markets inefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

Persistent link: https://www.econbiz.de/10010520828

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