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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
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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
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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
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Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
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Volatility persistence in cryptocurrency markets under structural breaks
Abakah, Emmanuel Joel Aikins; Gil-Alaña, Luis A.; … - In: International review of economics & finance : IREF 69 (2020), pp. 680-691
Persistent link: https://www.econbiz.de/10012487193
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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
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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
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Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731952
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
Persistent link: https://www.econbiz.de/10003931070